PEMODELAN RETURN HARGA SAHAM MENGGUNAKAN MODEL INTERVENSI–ARCH/GARCH (Studi Kasus : Return Harga Saham PT Bayan Resources Tbk)

Abstract

The intervention method is a time series model which could be used to model data with extreme fluctuation whether up or down. Stock price return tend to have extreme fluctuation which is caused by internal or external factors. There are two kinds of intervention function; a step function and a pulse function. A step function is used for a long-term intervention, while a pulse function is used for a short-term intervention. Modelling a time series data needs to satisfy the homoscedasticity assumptions (variance of residual is homogeneous).  In reality, stock price return has a high volatility, in other words it has a non-constant variance of residuals (heteroscedasticity). ARCH (Autoregressive Conditional Heteroscedasticity) or GARCH (Generalized Autoregressive Conditional Heteroscedasticity) can be used to model data with heteroscedasticity. The data used is stock price return from August 2008 until September 2018. From the stock price return data plot is found an extreme fluctuation in September 2017 (T=110) that is suspected as a pulse function. The best model uses the intervention pulse function is ARMA([1,4],0) (b=0, s=1, r=1). The intervention model has a non-constant variance or there is an ARCH effect. The best variance model obtained is ARMA([1,4],0)(b=0, s=1, r=1)–GARCH(1,1) with the AIC value is -205,75088.

Keywords: Stock Return, Intervention, Heteroscedasticity, ARCH/GARCH