SAINS Jurnal Manajemen dan Bisnis Vol. 10 No. 2 (2018) SINTA 5

Ossi, Ferli SAINS Jurnal Manajemen dan Bisnis Vol. 10 No. 2 (2018) SINTA 5.

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Abstract

The purpose of this research is to models daily returns with conditional heterocedasticity to investigate the volatility of returns by using mean process model of AR(1) and comparing two conditional variance model EGARCH and GARCH (1,1) of Indonesia and Malaysia stock index market. The result of the research are EGARCH are a better predictor for return volatility of Indonesia and Malaysia.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Depositing User: Mrs. Ossi Ferli
Date Deposited: 14 Jul 2021 04:47
Last Modified: 16 Dec 2022 02:02
URI: http://repository.ibs.ac.id/id/eprint/2805

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