PEMODELAN RETURN PORTOFOLIO SAHAM MENGGUNAKAN METODE GARCH ASIMETRIS

ARIFIN, MUHAMMAD (2017) PEMODELAN RETURN PORTOFOLIO SAHAM MENGGUNAKAN METODE GARCH ASIMETRIS. Undergraduate thesis, Fakultas Sains dan Matematika, Undip.

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Abstract

Investment in stocks is an alternative for investors and companies to obtain external funding sources. In the investment world there is a strong relationship between risk and return (profit), if the risk is high then return will also be high. Risks can be minimized by performing stock portfolio. Stock is the time series data in the financial sector, which usually has a tendency to fluctuate rapidly from time to time so that variance of error is not constant. Time series model in accordance with these condition is Generalized Autoregressive Conditional Heteroscedasticity (GARCH). This research will apply asymmetric GARCH covering Exponential GARCH (EGARCH), Threshold GARCH (TGARCH), and Autoregressive Power ARCH (APARCH) in stock data Indocement Tunggal Tbk (INTP), Astra International Tbk (ASII), and Adaro Energy Tbk (ADRO) commencing from the date of March 1, 2013 until February 29, 2016 during an active day (Monday to Friday). The purpose of this research is to predict the value of the volatility of a portfolio of three assets stocks. The best models used for forecasting volatility in asset stocks which have asymmetric effect is ARIMA ([13],0,[2,3]) EGARCH (1,1) on a single asset data INTP, ARIMA ([2],0,[2,3]) EGARCH (1,1) on the 2 asset portfolio data ASII INTP, and ARIMA ([3],0,[2]) EGARCH (1,1) on the 3 asset portfolio data INTP-ASII-ADRO. Keywords: Stocks, Portfolio, Return, Volatility, Asymmetric GARCH.

Item Type:Thesis (Undergraduate)
Subjects:H Social Sciences > HA Statistics
Divisions:Faculty of Science and Mathematics > Department of Statistics
ID Code:55063
Deposited By:Mr Hasbi Yasin
Deposited On:26 Jul 2017 09:03
Last Modified:26 Jul 2017 09:03

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