eprintid: 56129
rev_number: 12
eprint_status: archive
userid: 12243
dir: disk0/00/05/61/29
datestamp: 2023-02-13 01:52:24
lastmod: 2023-02-13 01:52:24
status_changed: 2023-02-13 01:52:24
type: thesis
metadata_visibility: show
contact_email: muchti.nurhidaya@uin-suka.ac.id
creators_name: Aura Latifa, NIM.:  18106010006
title: PENERAPAN MODEL ARCH-GARCH UNTUK ESTIMASI
DAN PERAMALAN SAHAM PT.UNITED TRACTORS TBK
ispublished: pub
subjects: Matematika
divisions: jur_mat
full_text_status: restricted
keywords: datatimeseries; ARIMA; homoscedasticity; ARCH/GARCH
note: Pembimbing:
Sri Utami Zuliana, S.Si., M.Sc., Ph.D.
abstract: Statistics plays a role invarious fields of activity . In research activities both
academically, economically, and inmanagement decision-making. One of the ben-
efits of statistic almethods is being able to for ecast data for the future. The method
that is often used in forecasting is the time series method. Several time series mod-els are often used, namely AR,MA,ARMA,and ARIMA. In this time series model,
the data must be homoscedastic. If the data does not meet the assumption of ho-
moscedasticity, tthen the time series model can not be used. In this problem, the
model that can be used is the ARCH-GARCH model.This research aims to study,
find the best model,and apply ARCH-GARCH to stock data.The method used in
this researc his quantitative. Thisstudy’sARCH-GARCH modeling was carriedout
in severalsteps.The stationarity test for the mean and variance in thisstudy utilises
the Box-Coxtrans formation and the ADF test.While the selection of criteria for
the bestforecasting mode luses AIC,and measurement of the errorrate uses Mean
Absolute Percentage(MAPE).In this research,the data used is PT.United Tractors
Tbk daily closing price data.PT.UnitedTractorsTbk in the period March12022
to July 29 2022 with softwareR4.10 in making capital.The GARCH model(3.0)
was the best model withan AICvalueof16.55,and aMAPEof4.74%. It was con-
cluded that the GARCHmodel(3.0)is an excellent model for PT.United Tractors
Tbk daily shareprice data.
date: 2022-12-12
date_type: published
pages: 113
institution: UIN SUNAN KALIJAGA YOGYAKARTA
department: FAKULTAS SAINS DAN TEKNOLOGI
thesis_type: skripsi
thesis_name: other
citation:   Aura Latifa, NIM.: 18106010006  (2022) PENERAPAN MODEL ARCH-GARCH UNTUK ESTIMASI DAN PERAMALAN SAHAM PT.UNITED TRACTORS TBK.  Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.   
document_url: https://digilib.uin-suka.ac.id/id/eprint/56129/1/18106010006_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
document_url: https://digilib.uin-suka.ac.id/id/eprint/56129/2/18106010006_BAB-II_sampai_SEBELUM-BAB-TERAKHIR.pdf