Prediksi Return Emerging Market di Indonesia Dan Malaysia

Ossi Ferli

Abstract


The purpose of this research is to models daily returns with conditional heterocedasticity to investigate the volatility of returns by using mean process model of AR(1) and comparing two conditional variance model EGARCH and GARCH (1,1) of Indonesia and Malaysia stock index market. The result of the research are EGARCH are a better predictor for return volatility of Indonesia and Malaysia.


Keywords


Emerging market, AR(1), EGARCH, GARCH (1,1)

Full Text:

PDF


DOI: http://dx.doi.org/10.35448/jmb.v10i2.4194

Refbacks

  • There are currently no refbacks.


Copyright (c) 2018 SAINS : Jurnal Manajemen dan Bisnis

Redaksi SAINS: Jurnal Manajemen dan Bisnis,

Fakultas Ekonomi dan Bisnis, Universitas Sultan Ageng Tirtayasa

Jl. Raya Jakarta KM. 4 Pakupatan Serang, Banten

Telp/Fax (0254) 280330

E-mail: jsm@untirta.ac.id

 

Creative Commons License

This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Copyright © 2018 Sains: Jurnal Manajemen dan Bisnis. All rights reserved.