PERBANDINGAN MODEL EXPONENTIAL GARCH, GJR-GARCH DAN QUADRATIC GARCH PADA INDEKS HARGA SAHAM GABUNGAN (IHSG)

HERDA DWIYANTI, . (2023) PERBANDINGAN MODEL EXPONENTIAL GARCH, GJR-GARCH DAN QUADRATIC GARCH PADA INDEKS HARGA SAHAM GABUNGAN (IHSG). Sarjana thesis, UNIVERSITAS NEGERI JAKARTA.

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Abstract

Indeks Harga Saham Gabungan (IHSG) merupakan indeks pada Bursa Efek Indonesia yang melacak kinerja semua saham yang terdaftar di sana. IHSG biasanya digunakan untuk melihat gambaran kenaikan dan penurunan pasar investasi secara keseluruhan pada Bursa Efek Indonesia. Harga penutupan harian IHSG cenderung berfluktuasi dari waktu ke waktu yang menyebabkan data memiliki varians yang tidak konstan sehingga data memiliki masalah heteroskedastisitas. Untuk mengatasi masalah ini dibutuhkan model ARCH/GARCH. Tetapi pada data keuangan seperti data penutupan harian IHSG, respon volatilitas tidaklah sama (asimetris). Untuk itu, model GARCH saja tidak cukup sehingga perlu dimodelkan dengan model GARCH asimetris seperti model Exponential GARCH, GJR-GARCH dan Quadratic GARCH. Tujuan penelitian ini adalah untuk mencari model terbaik diantara ketiga model yang dibentuk dari data penutupan harian IHSG periode 1 November 2020 - 16 September 2022 berdasarkan nilai AIC terkecil. Hasil penelitian ini menunjukkan bahwa diantara ketiga model dalam memodelkan harga penutupan harian IHSG yang terbaik adalah model Quadratic GARCH(1,1) dengan nilai AIC terkecil. The Composite Stock Price Index (IHSG) is an index on the Indonesian Stock Exchange that tracks the performance of all stocks listed there. IHSG is usually used to see an overview of the increase and decrease in the overall investment market on the Indonesian Stock Exchange. The IHSG daily closing price tends to fluctuate from time to time which causes the data to have a variance that is not constant so the data has a heteroscedasticity problem. To overcome this problem, the ARCH/GARCH model is needed. But in financial data such as the IHSG daily closing data, the volatility response is not the same (asymmetric). For that, the GARCH model alone is not enough so it needs to be modeled with asymmetric GARCH models such as the Exponential GARCH, GJR-GARCH, and Quadratic models. GARCH. The purpose of this research is to find the best model among the three models to model the composite stock price index which is formed from the daily closing data for the IHSG for the period November 1st, 2020 to November 30th, 2022 based on the smallest AIC value. The results of this study indicate that among the three models in modeling the JCI daily closing price the best is the Quadratic GARCH(1,1) model with the smallest AIC value.

Item Type:	Thesis (Sarjana)
Additional Information:	1). Dr. Yudi Mahatma, M.Si. ; 2). Ibnu Hadi, M.Si.
Subjects:	Sains > Matematika
Divisions:	FMIPA > S1 Matematika
Depositing User:	Users 17831 not found.
Date Deposited:	08 Mar 2023 05:02
Last Modified:	08 Mar 2023 05:02
URI:	http://repository.unj.ac.id/id/eprint/38076

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