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

Elfa Rafulta -, Roni Tri Putra


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.


GARCH, Intenational Stock Markets

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