eprintid: 30341
rev_number: 10
eprint_status: archive
userid: 71
dir: disk0/00/03/03/41
datestamp: 2018-07-23 03:58:35
lastmod: 2018-07-23 03:58:35
status_changed: 2018-07-23 03:58:35
type: thesis
metadata_visibility: show
creators_name: LISDA MEILINDA, NIM. 13610028
title: PERAMALAN VOLATILITAS SAHAM SYARIAH DENGAN MENGGUNAKAN MODEL STOCHASTIC VOLATILITY (STUDI KASUS: DAILY CLOSING PRICE SAHAM UNILEVER INDONESIA PERIODE 27 OKTOBER 2014 – 25 OKTOBER 2017)
ispublished: pub
subjects: Matematika
divisions: jur_mat
full_text_status: restricted
keywords: ARIMA, Forecasting, Heterocedasticity, Stochastic Volatility, Volatility
note: M. Farhan Qudratullah, M.Si.
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,-.
date: 2018-02-23
date_type: published
institution: UIN SUNAN KALIJAGA YOGYAKARTA
department: FAKULTAS SAINS DAN TEKNOLOGI
thesis_type: skripsi
thesis_name: other
citation:   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.   
document_url: https://digilib.uin-suka.ac.id/id/eprint/30341/2/13610028_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
document_url: https://digilib.uin-suka.ac.id/id/eprint/30341/1/13610028_BAB-II_sampai_SEBELUM-BAB-TERAKHIR.pdf