PERAMALAN VOLATILITAS SAHAM MENGGUNAKAN MODEL EXPONENTIAL GARCH DAN THRESHOLD GARCH
In financial data there is asymmetric volatility, which denotes the different movements on conditional volatility of increase and decrease financial asset returns. The exponential GARCH and threshold GARCH models can be used to capture asymmetric volatility, called leverage effect. The aim of this r...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Udayana
2019-11-01
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| Series: | E-Jurnal Matematika |
| Online Access: | https://ojs.unud.ac.id/index.php/mtk/article/view/54992 |