×Muslikan, 2006 MODELING ON RETURN VOLATILITY BY EGARCH MODEL. Faculty of Mathematics and Natural Sciences, Sebelas Maret University, Surakarta.
Volatility is used to measure how big change that happen at economic indicators, one of them is volatility estimates of return. Modeling on return volatility aim to know the fluctuation of variance from residual time series model. An EGARCH model as one form of volatility models can detect the leverage or asymmetric effect at volatility model that caused by different news.
The purposes of this final project are to look for the volatility model of return through the theoretical approach i.e. the EGARCH model that appropriate, and to determine the parameter estimation model using the maximum likelihood method. The method is used in this final project is literature study. The steps are used to find the parameters estimation of the EGARCH model are identify the distribution function from the residual time series model first, and then determine the likelihood function. Finally, using scoring algorithm, the parameters of the EGARCH model are estimated.
From the investigation, it can be concluded that the parameters have the recursive form of differential logarithm function, that is as function from .
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Penulis Utama
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MUSLIKAN
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Tahun
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2006
Judul
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PEMODELAN FLUKTUASI HARGA SAHAM BERPOLA EGARCH
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Surakarta - FMIPA - 2006
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Skripsi
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Status
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Public
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