Pemodelan Harga Saham Menggunakan Arma-Garch

  • Dwi Sulistiowati Universitas Dharma Andalas
  • Maya Sari Syahrul Universitas Dharma Andalas
  • Iswan Rina Universitas Dharma Andalas
DOI: https://doi.org/10.47233/jppie.v1i2.532
Keywords: AR, MA, ARMA, ARCH, GARCH.

Abstract

Autoregressive Conditional Heteroscedasticity (ARCH) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models were used for modeling with heteroscedasticity data. This study aims to determine the time series model on the stock price data of PT Triputra Agro Persada Tbk. (TAPG) with modeling ARMA, ARCH and GARCH. Based on the smallest Akaike Information Criterion (AIC) and Schwarz Criterion (SC), it shows that the ARMA(1,0)-GARCH(2,1) model is the best model for predicting the value of TAPG stock prices.

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References

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Published
2022-07-19
How to Cite
Sulistiowati, D., Syahrul, M., & Rina, I. (2022). Pemodelan Harga Saham Menggunakan Arma-Garch. Jurnal Penelitian Dan Pengkajian Ilmiah Eksakta, 1(2), 89-93. https://doi.org/10.47233/jppie.v1i2.532
Issue
Vol 1 No 2 (2022): Jurnal Hasi Penelitian Dan Pengkajian Ilmiah Eksakta - JPPIE
Section
Articles
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