ANALISIS VOLATILITAS RETURN SAHAM PERBANKANYANG TERCATAT DI BURSA EFEK INDONESIA DENGAN METODEANALISIS TIME SERIES

YULIANTO, MOHAMAD RIZKI (2018) ANALISIS VOLATILITAS RETURN SAHAM PERBANKANYANG TERCATAT DI BURSA EFEK INDONESIA DENGAN METODEANALISIS TIME SERIES. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

In the field of options trading, volatility affects the price of an option sensitively. Even this volatility is also referred to as one of the market speed measures (speed of the market). Most financial data is available in time series form especially banking stocks which has high volatility. High volatility data has implications for the variance of non constant error or heteroscedasticity. ARCH and GARCH volatility modeling are two estimation models for high volatility data. Both of these models accommodate heteroscedasticity data. The study used ARMA (p,q) or ARIMA (p,d,q) models as the basis for conditional mean, and ARCH / GARCH model and its variant as conditional variance which available on EViews 9.0 software. All listed companies have heteroscedasticity, where the model ARCH, GARCH, EGARCH, IGARCH, and TARCH is fitted model for the banks. The fitted model is symmetric to the volatility (symmetric shocks to volatility) and asymmetric (asymmetric shock). Which means slump in stock markets (bearish) not necessarily followed by market rise (bullish) in the same size at other times. Keywords: Time Series Volatility, Heteroskedasticity, ARCH Family, Eviews 9.0 Di bidang perdagangan opsi, volatilitas sangat sensitif mempengaruhi harga sebuah opsi. Bahkan volatilitas ini disebut juga sebagai salah satu ukuran kecepatan pasar (speed of the market). Data deret waktu terutama dalam keuangan khususnya saham perbankan seringkali memiliki volatilitas yang tinggi. Implikasi data yang bervolatilitas tinggi adalah variance dari error tidak konstan atau mengalami heteroskedastisitas. Pemodelan volatilitas ARCH dan GARCH adalah dua model estimasi untuk perilaku data dengan volatilitas tinggi. Kedua model ini dapat mengakomodasi masalah apabila terjadi heteroskedastisitas. Penelitian menggunakan model ARMA(p,q) atau ARIMA (p,d,q) sebagai dasar untuk conditional mean, dan model ARCH/GARCH dan variannya sebagai conditional variance yang tersedia pada software EViews 9.0 sebagai aplikasi yang digunakan. Seluruh emiten yang diuji memiliki sifat heteroskedastisitas, dimana model ARCH, GARCH, EGARCH, IGARCH, dan TARCH merupakan model yang cocok digunakan pada 22 perbankan yang terdaftar di BEI pada penelitian ini. Model yang cocok bersifat simetris terhadap volatilitas (symmetric shocks to volatility) dan asimetris (assymetric shock). Yang artinya penurunan tajam di pasar (efek negatif) tidak serta merta akan diikuti dengan kenaikan pasar (efek positif) dalam ukuran yang sama di waktu lain. Kata Kunci: Volatilitas Time Series, Heteroskedastisitas, ARCH Family, Eviews 9.0

Item Type: Thesis (S2)
Call Number CD: CD/551. 19 113
Call Number: TM/51/18/207
NIM: 55114120039
Uncontrolled Keywords: Volatilitas Time Series, Heteroskedastisitas, ARCH Family, Eviews 9.0
Subjects: 200 Religion/Agama > 290 Other Religions/Agama Selain Kristen > 297 Agama Islam/Islam > 297.4 Islamic law/Hukum Islam > 297.43 Muamalat/Muamalat > 297.433 Lease, Borrow-borrow, Labor, Bank, Usury, Insurance/Sewa-menyewa; Pinjam-meminjam; Perburuhan; Bank; Riba; Asuransi
300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 332 Financial Economics, Finance/Ekonomi Keuangan dan Finansial, Ekonomi Biaya dan Pembiayaan
300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 332 Financial Economics, Finance/Ekonomi Keuangan dan Finansial, Ekonomi Biaya dan Pembiayaan > 332.1 Banks/Bank, Perbankan
300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 332 Financial Economics, Finance/Ekonomi Keuangan dan Finansial, Ekonomi Biaya dan Pembiayaan > 332.2 Specialized Banking Institutions/Institusi Perbankan Khusus
300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 334 Cooperative/Koperasi, Sistem Perkoperasian > 334.2 Banking and Credit Cooperatives/Koperasi Perbankan dan Kredit
Divisions: Pascasarjana > Magister Manajemen
Depositing User: Dede Muksin Lubis
Date Deposited: 28 Dec 2018 01:21
Last Modified: 10 Jan 2020 06:34
URI: http://repository.mercubuana.ac.id/id/eprint/46316

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