PERHITUNGAN VALUE AT RISK HARGA SAHAM DENGAN MENGGUNAKAN VOLATILITAS ARCH-GARCH DALAM KELOMPOK SAHAM LQ 45

Simple item page
dc.contributor.authorGaol, Boy A Lumban
dc.contributor.authorNababan, Tumpal Parulian
dc.contributor.authorSirait, Haposan
dc.date.accessioned2016-04-27T02:40:45Z
dc.date.available2016-04-27T02:40:45Z
dc.date.issued2016-04-27
dc.description.abstractThis 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.sponsorshipFakultas Matematika dan Ilmu Pengetahuan Alam Universitas Riauen_US
dc.identifier.otherwahyu sari yeni
dc.identifier.urihttp://repository.unri.ac.id/xmlui/handle/123456789/8280
dc.language.isoenen_US
dc.subjectARCH-GARCH methoden_US
dc.subjectvalue at risken_US
dc.subjectvolatilityen_US
dc.subjectheteroscedasticityen_US
dc.subjectshare price index of LQ 45en_US
dc.titlePERHITUNGAN VALUE AT RISK HARGA SAHAM DENGAN MENGGUNAKAN VOLATILITAS ARCH-GARCH DALAM KELOMPOK SAHAM LQ 45en_US
dc.typestudent Paper Post Degreeen_US

Files

Original bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
artikel_boy.pdf
Size:
813.73 KB
Format:
Adobe Portable Document Format
Description:
artikel
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Mathematics