Analisis Volatilitas Return Saham PT Antam (Persero) Tbk dan PT Adaro Energy Tbk Dengan Garch, Egarch Dan GJR

Penulis

  • Yasir Maulana Universitas Kuningan, Indonesia

Abstrak

An extraordinary event that causes shock can affect volatility which causes asymmetric variance and error or commonly called asimetric shock / effect. This paper aims to analyze the volatility of stock returns of PT ANTAM (Persero) Tbk and PT Adaro Energy Tbk in the period of 2008 to 2016. The research results show that ANTM and ADRO have a GARCH effect and also have a leverage effect where the optimal model is found in the GJR model (0,1,1) for ANTM and GJR (1,1,1) for ADRO. Forecasting results shows that ADRO has higher volatility but in a relatively low percentage of volatility about 0.001 while ANTM have a tendency to decrease volatility with a fairly large percentage of volatility about 0.0025. Keywords: Volatility, GARCH, EGARCH, GJR

Referensi

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Unduhan

Diterbitkan

2020-01-24

Cara Mengutip

Maulana, Y. (2020). Analisis Volatilitas Return Saham PT Antam (Persero) Tbk dan PT Adaro Energy Tbk Dengan Garch, Egarch Dan GJR. Jurnal Akuntansi Dan Pajak, 20(02). Diambil dari https://jurnal.stie-aas.ac.id/index.php/jap/article/view/859

Terbitan

Vol 20 No 02 (2020): Jurnal Akuntansi dan Pajak Vol. 20 No. 2, Januari 2020

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