Nur Halimah, NIM.: 18106010022 (2022) PERAMALAN HARGA SAHAM MENGGUNAKAN MODEL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (GARCH) (STUDI KASUS : PERAMALAN HARGA SAHAM MINGGUAN PT. ADARO ENERGY INDONESIA TBK.). Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.
|
Text (PERAMALAN HARGA SAHAM MENGGUNAKAN MODEL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (GARCH) (STUDI KASUS : PERAMALAN HARGA SAHAM MINGGUAN PT. ADARO ENERGY INDONESIA TBK.))
18106010022_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf - Published Version Download (3MB) | Preview |
|
![[img]](https://digilib.uin-suka.ac.id/style/images/fileicons/text.png) |
Text (PERAMALAN HARGA SAHAM MENGGUNAKAN MODEL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (GARCH) (STUDI KASUS : PERAMALAN HARGA SAHAM MINGGUAN PT. ADARO ENERGY INDONESIA TBK.))
18106010022_BAB-II_sampai_SEBELUM-BAB-TERAKHIR.pdf - Published Version Restricted to Registered users only Download (3MB) | Request a copy |
Abstract
Time series is a quantitative method for identifying past data patterns for future forecasting. In time series the data must meet the assumption of homoscedasticity. The definition of homoscedasticity is a condition where there is a similarity in the variance of the error in the observation data. Data that does not meet the assumption of homoescedasticity is called heteroscedasticity. The GARCH model is one of the models that can be used to estimate data indicated by heteroscedasticity. Researchers use quantitative methods which applied to the stock price data of PT. Adaro Energy Indonesia Tbk. The data is shown to indicate heteroscedasticity. After done analysis, obtained the GARCH (2,1) model with an AIC value of 10.55, BIC 10.85 and 6.97% MAPE because the MAPE value is <10%, it can be saved conclude that the GARCH (2,1) model is a very good model in modeling the stock price of PT. Adaro Energy Indonesia Tbk.
| Item Type: | Thesis (Skripsi) |
|---|---|
| Additional Information: | Pembimbing 1: Sri Utami Zuliana, S.Si., M.Sc., Ph.D dan Pembimbing 2: Pipit Pratiwi Rahayu, S.Si., M.Sc. |
| Uncontrolled Keywords: | Homoskedastisitas, GARCH, Saham |
| Subjects: | Matematika |
| Divisions: | Fakultas Sains dan Teknologi > Matematika (S1) |
| Depositing User: | Muh Khabib, SIP. |
| Date Deposited: | 24 Oct 2022 09:28 |
| Last Modified: | 24 Oct 2022 09:28 |
| URI: | http://digilib.uin-suka.ac.id/id/eprint/54418 |
Share this knowledge with your friends :
Actions (login required)
 |
View Item |
