Browsing MT - Mathematics and Natural Science by Subject "GARCH"
Now showing items 1-6 of 6
-
A Comparative Study of GARCH, LSTM, and Hybrid GARCH-LSTM Models for Analyzing the Dynamical Pattern of Stock Price Volatility
(2022-07-13)Most of the statistical methods used in time series analytics assume that the data properties be stationary. In real cases, this assumption may be violated. The stock price is one of the highly volatile data or has a ... -
Kajian Penanganan Keheterogenan Ragam Dengan Transformasi Dan Pemodelan Garch Dalam Peramalan Nilai Ekspor Cpo Indonesia.
(2015)Sebagai negara agraris, Indonesia mempunyai subsektor perkebunan yang mempunyai peran sangat penting bagi kesejahteraan masyarakat. Komoditas yang paling diunggulkan yaitu kelapa sawit. Produksi kelapa sawit yang tinggi ... -
Modelling National Area Harvested of Paddy Using GARCH Methods (Generalized Autoregressive Conditional Heteroscedastic) Model.
(2014)Time series data of national area harvested of paddy has high volatility and non homogeneous variance. A time series data with non homogeneous variance at time is called time series data with conditional heteroscedasticity. ... -
Modified Exponentially Weighted Moving Average Model to Estimate Stock Volatility in Indonesia Stock Exchange (Case Study: LQ45 Index).
(2012)Accurate volatility modeling is an important issue in finance. A common approach to estimate the volatility of asset returns is to use an exponentially weighted moving average (EWMA) model, a special case of general ... -
Pendugaan Value at Risk Portofolio Multivariat Saham Menggunakan Metode Asymmetric GARCH-EVT-Copula
(2021)Value at Risk (VaR) merupakan salah satu ukuran risiko finansial dalam manajemen risiko. Beberapa masalah akan muncul karena banyak ditemukan data return finansial yang tidak memiliki sebaran normal serta memiliki ... -
Perbandingan Peramalan Fungsi Transfer dan ARIMA-GARCH pada Data Saham Harian di Sektor Agribisnis dan Perdagangan
(2022)Saham merupakan salah satu instrument keuangan jangka panjang yang diperjual belikan di pasar modal dan merupakan salah satu alternatif investasi yang populer bagi investor di Indonesia. Salah satu tujuan investor ...