BibTex Citation Data :
@article{J.Gauss14766, author = {Muhammad Arifin and Tarno Tarno and Budi Warsito}, title = {PEMODELAN RETURN PORTOFOLIO SAHAM MENGGUNAKAN METODE GARCH ASIMETRIS}, journal = {Jurnal Gaussian}, volume = {6}, number = {1}, year = {2017}, keywords = {Stocks, Portfolio, Return, Volatility, Asymmetric GARCH}, 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. }, issn = {2339-2541}, pages = {51--60} doi = {10.14710/j.gauss.6.1.51-60}, url = {https://ejournal3.undip.ac.id/index.php/gaussian/article/view/14766} }
Refworks Citation Data :
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.
Article Metrics:
Last update:
The Authors submitting a manuscript do so on the understanding that if accepted for publication, copyright of the article shall be assigned to Media Statistika journal and Department of Statistics, Universitas Diponegoro as the publisher of the journal. Copyright encompasses the rights to reproduce and deliver the article in all form and media, including reprints, photographs, microfilms, and any other similar reproductions, as well as translations.
Jurnal Gaussian and Department of Statistics, Universitas Diponegoro and the Editors make every effort to ensure that no wrong or misleading data, opinions or statements be published in the journal. In any way, the contents of the articles and advertisements published in Jurnal Gaussian journal are the sole and exclusive responsibility of their respective authors and advertisers.
The Copyright Transfer Form can be downloaded here: [Copyright Transfer Form Jurnal Gaussian]. The copyright form should be signed originally and send to the Editorial Office in the form of original mail, scanned document or fax :
Dr. Rukun Santoso (Editor-in-Chief) Editorial Office of Jurnal GaussianDepartment of Statistics, Universitas DiponegoroJl. Prof. Soedarto, Kampus Undip Tembalang, Semarang, Central Java, Indonesia 50275Telp./Fax: +62-24-7474754Email: jurnalgaussian@gmail.com
Jurnal Gaussian by Departemen Statistika Undip is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Visitor Number:
View statistics
