Pemodelan Data Time Series Garch(1,1) Untuk Pasar Saham Indonesia

Elfa Rafulta -, Roni Tri Putra

Abstract


This paper introduced a method pengklusteran for financial data. By using the model Heteroskidastity Generalized autoregressive conditional (GARCH), will be estimated distance between the stock market using GARCH-based distance. The purpose of this method is mengkluster international stock markets with different amounts of data.


Keywords


GARCH, Intenational Stock Markets

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References


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DOI: http://dx.doi.org/10.30630/jipr.11.1.15

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Published by Pusat Penelitian dan Pengabdian Kepada Masyarakat Politeknik Negeri Padang, Jurnal Ilmiah Poli Rekayasa| p-ISSN: 1858-3709 | e-ISSN : 2685-3922| DOI: 10.30630/jipr

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