PERAMALAN VOLATILITAS SAHAM SYARIAH DENGAN MENGGUNAKAN MODEL STOCHASTIC VOLATILITY (STUDI KASUS: DAILY CLOSING PRICE SAHAM UNILEVER INDONESIA PERIODE 27 OKTOBER 2014 – 25 OKTOBER 2017)

LISDA MEILINDA, NIM. 13610028 (2018) PERAMALAN VOLATILITAS SAHAM SYARIAH DENGAN MENGGUNAKAN MODEL STOCHASTIC VOLATILITY (STUDI KASUS: DAILY CLOSING PRICE SAHAM UNILEVER INDONESIA PERIODE 27 OKTOBER 2014 – 25 OKTOBER 2017). Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

Investment is an activity of investing in the real sector as well as the financial sector. One form of investment in the financial sector is stocks. Investment activities on stocks need to take into account the risks that will be faced in the future in order to be considered in buying a stock. In calculating the risk required the volatility of a stock. Volatility has no definite definition and is statistically measured as a standard deviation. The problem is, volatility is not a constant value that causes a heteroskedasticity effect. Therefore a tool is needed to predict the value of volatility that is by modeling forecasting. One model that can be used to forecast heteroskedasticity volatility is the Stochastic Volatility (SV) model. The volatility forecasting steps with SV model are 1) Testing stationary data, 2) Testing normality; 3) Identification of ARIMA model (p, d, q); 4) Estimate the ARIMA model (p, d, q); 5) Diagnostic test model ARIMA (p, d, q); 6) Testing the existence of ARCH effect; 7) Estimation of SV model; 8) Establish SV model; 9) SV diagnostic test model; 10) Calculating the volatility ram with the SV model. The best model in this research is Stochastic Volatility - AR (1) model, with the result of volatility forecasting is 1,5495%. while the profit is 0,0679%. If with a 95% confidence level eg allocated funds of Rp 100.000.000,00 then the possible risk to be faced is Rp 1.549.500,- with a profit of 67.900,-.

Item Type: Thesis (Skripsi)
Additional Information: M. Farhan Qudratullah, M.Si.
Uncontrolled Keywords: ARIMA, Forecasting, Heterocedasticity, Stochastic Volatility, Volatility
Subjects: Matematika
Divisions: Fakultas Sains dan Teknologi > Matematika (S1)
Depositing User: Miftahul Ulum [IT Staff]
Date Deposited: 23 Jul 2018 10:58
Last Modified: 23 Jul 2018 10:58
URI: http://digilib.uin-suka.ac.id/id/eprint/30341

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