ANALISIS VOLATILITAS RETURN SAHAM PERBANKAN DI BURSA EFEK INDONESIA

YUNITA, YUNITA (2015) ANALISIS VOLATILITAS RETURN SAHAM PERBANKAN DI BURSA EFEK INDONESIA. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

This research aims to study and measure the volatility as well as to estimate a model that can predict the volatility of stock returns - stock banking sector. The period of the study in January 2007 until December 2014. The volatility of stock returns is a measure that shows how much return to fluctuate within a period of time. Heteroscedasticity presence in a time series data required methods in modeling the heteroscedasticity, so the modeling is done using ARCH / GARCH (Autoregressive Conditional Heteroscedasticity / General Autoregressive Conditional Heteroscedasticity) in modeling the volatility of the data. This study focuses on the presence of heteroscedasticity problem. The analysis showed that the daily closing stock price data - stocks of the sampled contained heteroscedasticity elements. Keyword: Return, Volatility, Heteroscedasticity, ARCH-GARCH (Autoregressive Conditional Heteroscedasticity / General Autoregressive Conditional Heteroscedasticity) Penelitian ini bertujuan mempelajari dan mengukur volatilitas serta membuat estimasi model yang dapat meramalkan volatilitas return saham - saham sektor perbankan . Periode penelitian pada Januari 2007 sampai dengan Desember 2014. Volatilitas return saham merupakan Suatu ukuran yang menunjukkan seberapa besar return berfluktuasi dalam suatu periode waktu. Adanya heterokedastisitas pada suatu data deret waktu diperlukan metode dalam memodelkan heteroskedastisitas, sehingga dilakukan pemodelan menggunakan ARCH/GARCH (Autoregressive Conditional Heteroscedasticity / General Autoregressive Conditional Heteroscedasticity) dalam memodelkan volatilitas dari data tersebut . Penelitian ini fokus pada keberadaan masalah heteroskedastisitas. Hasil analisis menunjukkan bahwa pada data harga penutupan harian saham – saham yang dijadikan sampel terdapat unsur heteroskedastisitas. Kata Kunci: Return, Volatilitas, Heteroskedastis, ARCH/ GARCH (Autoregressive Conditional Heteroscedasticity / General Autoregressive Conditional Heteroscedasticity)

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