Sains: Jurnal Manajemen dan Bisnis
Vol 10, No 2 (2018): Juni

Prediksi Return Emerging Market di Indonesia Dan Malaysia

Ossi Ferli (Unknown)

Article Info

Publish Date
30 Jun 2018

Abstract

The purpose of this research is to models daily returns with conditional heterocedasticity to investigate the volatility of returns by using mean process model of AR(1) and comparing two conditional variance model EGARCH and GARCH (1,1) of Indonesia and Malaysia stock index market. The result of the research are EGARCH are a better predictor for return volatility of Indonesia and Malaysia.

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Journal Info
Sains: Jurnal Manajemen dan Bisnis
Website

Abbrev

jsm

Publisher

Universitas Sultan Ageng Tirtayasa

Subject

Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

Description

The Journal of Management and Business is a journal containing scientific articles on financial management, marketing management, human resource management, operational management, strategic management, good corporate governance, business, management information systems, organizational behavior, and ...