Pemodelan Volatilitas Return Saham: Studi Kasus Pasar Saham Asia

Linda Karlina Sari, Noer Azam Achsani, Bagus Sartono

Abstract


Modelling Volatility of Return Stock Index: Evidence from Asian Countries

Volatility is one of the interesting phenomenon in financial market; the reason is because of its eect to the existence of global financial market. The existence of volatility closely related to the risk in stock model. This research aims to determine the right model in modeling stock return volatility taken from four Asian countries with symmetric and various asymmetric model of GARCH. The result from fitting the right model for all of four stock markets showed that asymmetric model of GARCH showing a better estimation in portraying stock return volatility. Moreover, the model can reveal the existence of asymmetric eects on those four stock markets.

Keywords: GARCH Asymmetric; Stock Market; Modelling; GARCH Symmetry; Volatility

 

Abstrak

Volatilitas pada pasar keuangan merupakan salah satu fenomena yang sangat menarik karena dampaknya terhadap eksistensi pasar finansial global. Keberadaan volatilitas berhubungan dengan risiko sebuah. Tulisan ini bertujuan menentukan model terbaik dalam memodelkan volatilitas return saham pada empat negara di Asia dengan menggunakan model simetris GARCH dan berbagai macam model asimetris GARCH. Hasil dari fitting model terbaik untuk keempat pasar saham menunjukkan bahwa model asimetris GARCH menunjukkan estimasi yang lebih baik dalam menggambarkan volatilitas return saham. Lebih jauh lagi, model tersebut mengungkapkan keberadaan efek asimetris pada keempat pasar saham. 


Keywords


Asimetris GARCH; Pasar Saham; Pemodelan; Simetris GARCH; Volatilitas

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References


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DOI: http://dx.doi.org/10.21002/jepi.v18i1.717

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