dc.contributor.author |
Gaol, Boy A Lumban |
|
dc.contributor.author |
Nababan, Tumpal Parulian |
|
dc.contributor.author |
Sirait, Haposan |
|
dc.date.accessioned |
2016-04-27T02:40:45Z |
|
dc.date.available |
2016-04-27T02:40:45Z |
|
dc.date.issued |
2016-04-27 |
|
dc.identifier.other |
wahyu sari yeni |
|
dc.identifier.uri |
http://repository.unri.ac.id/xmlui/handle/123456789/8280 |
|
dc.description.abstract |
This article discusses the application of ARCH-GARCH method to calculate value at
risk. The application process begins by constructing model using ARCH-GARCH.
This model is used to predict the variance or the volatility of share price index of LQ
45. This model considers heteroscedasticity factor of time series data used. Based
on the volatility, value at risk of share price index of LQ 45 is calculated. |
en_US |
dc.description.provenance |
Submitted by wahyu sari yeni (ayoe32@ymail.com) on 2016-04-27T02:40:45Z
No. of bitstreams: 1
artikel_boy.pdf: 833256 bytes, checksum: 2d33eb47d86ef37d05d6d004285bd116 (MD5) |
en |
dc.description.provenance |
Made available in DSpace on 2016-04-27T02:40:45Z (GMT). No. of bitstreams: 1
artikel_boy.pdf: 833256 bytes, checksum: 2d33eb47d86ef37d05d6d004285bd116 (MD5) |
en |
dc.description.sponsorship |
Fakultas Matematika dan Ilmu Pengetahuan Alam Universitas Riau |
en_US |
dc.language.iso |
en |
en_US |
dc.subject |
ARCH-GARCH method |
en_US |
dc.subject |
value at risk |
en_US |
dc.subject |
volatility |
en_US |
dc.subject |
heteroscedasticity |
en_US |
dc.subject |
share price index of LQ 45 |
en_US |
dc.title |
PERHITUNGAN VALUE AT RISK HARGA SAHAM DENGAN MENGGUNAKAN VOLATILITAS ARCH-GARCH DALAM KELOMPOK SAHAM LQ 45 |
en_US |
dc.type |
student Paper Post Degree |
en_US |