Indonesian Journal of Mathematics Education
Vol 2, No 1 (2019): Indonesian Journal of Mathematics Education

Gold Return Volatility Modeling Using Garch

Primadina Hasanah (Institut Teknologi Kalimantan)
Siti Qomariyah Nasir (Institut Teknologi Kalimantan)
Subchan Subchan (Institut Teknologi Sepuluh Nopember)

Article Info

Publish Date
30 Apr 2019


This research aims to resolve the heteroscedasticity problem in time series data by modeling and analyzing volatility the gold return using GARCH models. Heteroscedasticity means not the constant variance of residuals. The sample data is a return data from January 1, 2014 to September 23, 2016. The data analysis technique used is a stationary test, model identification, model estimation, diagnostic check, heteroscedasticity test, GARCH model estimation, and evaluation. The results showed that ARIMA (3,0,3)-GARCH (1.1) is the best model.

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Journal Info





Education Mathematics


Indonesian Journal of Mathematics Educations is a scientific journal published by Mathematics Education Study Program, Faculty of Education and Teacher Training, Universitas Tidar. IJOME publishes the research issues on mathematics and mathematics education, could be experiments, research and ...