PENERAPAN MODEL ARCH-GARCH UNTUK ESTIMASI DAN PERAMALAN SAHAM PT.UNITED TRACTORS TBK

Aura Latifa, NIM.: 18106010006 (2022) PENERAPAN MODEL ARCH-GARCH UNTUK ESTIMASI DAN PERAMALAN SAHAM PT.UNITED TRACTORS TBK. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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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.

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