PENGUJIAN TARAF AKURASI MODEL-MODEL VOLATILITAS DALAM MENDUGA NILAI RISIKO OBLIGASI (Studi Kasus : Obligasi INDON 14)

Nugroho, Puguh Agung (2010) PENGUJIAN TARAF AKURASI MODEL-MODEL VOLATILITAS DALAM MENDUGA NILAI RISIKO OBLIGASI (Studi Kasus : Obligasi INDON 14). Masters thesis, UNIVERSITAS DIPONEGORO.

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Abstract

ABSTRACT A good forecasting model for a risk of bond is the model that was examined and has an accurate level of forecasting accuracy. There are four forecasting models examined in this research, namely the Standard Deviation, Simple Moving Average, Exponential Weighted Moving Average, and autoregressive conditional Heterocedasticity or Generalized autoregressive conditional Heterocedasticity. These models are widely used model in predicting a risk of bonds. This research is tell about a forecasting for a volatility of bond INDON 14 return in order to measuring of risk value in the future. As in previous research, this study found that only the GARCH model (2.1) that is able to predict the bond return Indon 14 accurately. Keyword: forecasting models, bonds, risk, return, GARCH (2,1), accurate ABSTRAKSI Model peramalan yang baik bagi suatu risiko obligasi adalah model yang memiliki taraf akurasi peramalan yang akurat. Terdapat empat model peramalan yang diujikan dalam penelitian ini, yaitu Standard Deviation, Simple Moving Average, Exponential Weighted Moving Average, dan Autoregressive Conditional Heterocedasticity atau Generalized Autoregressive Conditional Heterocedasticity. Model-model tersebut merupakan model yang biasa digunakan untuk meramalkan risiko obligasi. Penelitian ini mengkaji mengenai peramalan bagi suatu volatilitas return obligasi INDON 14 dalam rangka mengukur nilai risiko dimasa yang akan datang. Seperti kesimpulan yang dihasilkan dari penelitian terdahulu, dalam penelitian ini menemukan bahwa hanya model GARCH (2,1) yang mampu meramalkan return obligasi INDON 14 secara akurat. Keyword: model peramalan, obligasi, risiko, return, GARCH (2,1), akurat

Item Type:Thesis (Masters)
Subjects:H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions:Postgraduate Program > Master Program in Management
ID Code:24021
Deposited By:Mr UPT Perpus 2
Deposited On:16 Nov 2010 10:48
Last Modified:16 Nov 2010 10:48

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