ASYMMETRIES MODEL OF VOLATILITY RETURN INDONESIAN SHARIA STOCK INDEX WITH EXPONENTIAL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY

Retno Tri Vulandari, . and Endah Rokhmati, . (2015) ASYMMETRIES MODEL OF VOLATILITY RETURN INDONESIAN SHARIA STOCK INDEX WITH EXPONENTIAL GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY. Proceeding of International Conference On Research, Implementation And Education Of Mathematics And Sciences 2015 (ICRIEMS 2015), Yogyakarta State University, 17-19 May 2015. ISSN 978-979-96880-8-8

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Abstract

Stocks are securities which a sign of ownership a person or entity to an enterprise. Since the establishment of IDX in 1977, stock traded based conventional, but in 2000 a new index based on sharia, Jakarta Islamic Index (JII) consists of 30 issuers listed on IDX. In 2011 launched another sharia index, namely the Indonesian Sharia Stock Index (ISSI), which consists of 322 of the 501 issuers listed on IDX. ISSI is a row of random variables in the form of time series data. Financial data such as ISSI have two important properties of time series data, namely heteroscedasticity and volatility. Heteroscedasticity is the error variance changes happen all the time. Volatility is a measure for variation of stock price over time. A good model for data with heteroscedasticity and volatility is GARCH (Bollerslev,1986). Volatility is influenced by many things, therefore stock is often called investment with leverage effect. This is the model that cause the stock price is not symmetrical. According to Chen (2005) and Berument (2001), a good model for the leverage effect is EGARCH model. In this study, the data will be used Indonesia Sharia Stock Index which have the nature of heteroscedasticity and asymmetric. Then the data model with asymmetric EGARCH models. Then predict the stock price in the next period. Furthermore perform simulations based on eviews and EGARCH function matlab toolbox. Key words: EGARCH, Indonesian Sharia Stock Index

Item Type: Article
Subjects: Prosiding > International Conference on Research, Implementation and Education of Mathematics and Sciences 2015 (ICRIEMS 2015) > Mathematics & Mathematics Education
Divisions: Fakultas Matematika dan Ilmu Pengetahuan Alam > Jurusan Pendidikan Matematika > Pendidikan Matematika
Depositing User: EPrints Administrator
Date Deposited: 10 Jul 2015 12:24
Last Modified: 10 Jul 2015 12:24
URI: http://eprints.uny.ac.id/id/eprint/23318

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