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Penerapan Model Dynamic Conditional Correlation GARCH Pada Data Saham

ESTIMASI: Journal of Statistics and Its Application · Vol. 2 No. 2 (2021) · pp. 80–87

DOI
10.20956/ejsa.v2i2.10569
ISSN
2721-379X, 2721-3803
Published
2021-07-23
Publisher
Hasanuddin University
Language
en

Abstract

Stock is one of the popular financial market instruments. Issuing shares are one of the company's choices when deciding to fund a company. The uncertainty of stock prices in the stock market is an important event to be taken into consideration in making a decision by investors so that a model is needed to describe a stock event. GARCH Dynamic Conditional Correlation (DCC) is a model with a conditional and variance time-dependent that describes the dynamics of stock volatility. This study discusses the DCC GARCH model equation which is applied to the LQ 45 data. The model obtained for BCA shares?t = + + so it can be concluded that DCC GARCH is more appropriate for BCA shares.

Keywords

Collaboration network of the authors

31 authors · 68 co-authorship links

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  • Sultan Ageng Tirtayasa University
  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
Show as table
Co-authorOrganisationJoint articles
Nasrah SirajangAffiliation unknown4
Sitti SahrimanAffiliation unknown3
RaupongAffiliation unknown2
Aqilah Salsabila RahmanAffiliation unknown2
Nurhidaya LAffiliation unknown2
Sonya SonyaAffiliation unknown2
Iis Cendrah KasihAffiliation unknown1
Rizki AdiputraAffiliation unknown1
Asti Inayati MagfirahAffiliation unknown1
Mega Selvia TjahayaAffiliation unknown1
Andi Kresna JayaAffiliation unknown1
Andi Isna YunitaAffiliation unknown1
Ratmila MammiAffiliation unknown1
Nur Alfianingsih RajaAffiliation unknown1
Nurtiti SunusiAffiliation unknown1
Riska RasyidAffiliation unknown1
Hendriete Tiur Marowi WaibusiAffiliation unknown1
Anisa AnisaSultan Ageng Tirtayasa University1
Victor LimanAffiliation unknown1
Rael Hofni TandirerungAffiliation unknown1
Anisa KalondengAffiliation unknown1
Surya Cahyadi SyamAffiliation unknown1
Nuralyatussa’ adaAffiliation unknown1
Muh. HadriantoAffiliation unknown1
Rita Ruth Chendra ChendraAffiliation unknown1
Abdul Fathin FawwazAffiliation unknown1
Andini Riantika Putri Amirullah AmirullahAffiliation unknown1
Hadi Siswadi Hamran HamzahAffiliation unknown1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.unhas.ac.id/index.php/ESTIMASI/oai, first harvested 2 Nov 2026, last seen 2 Nov 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en">Penerapan Model Dynamic Conditional Correlation GARCH Pada Data Saham</dc:title>
	<dc:creator xml:lang="en">Fitriana, Ika</dc:creator>
	<dc:creator xml:lang="en">Herdiani, Erna Tri</dc:creator>
	<dc:creator xml:lang="en">Tinungki, Georgina Maria</dc:creator>
	<dc:subject xml:lang="en">DCC GARCH</dc:subject>
	<dc:subject xml:lang="en">Saham LQ 45</dc:subject>
	<dc:subject xml:lang="en">Volatilitas</dc:subject>
	<dc:description xml:lang="en">Stock is one of the popular financial market instruments. Issuing shares are one of the company's choices when deciding to fund a company. The uncertainty of stock prices in the stock market is an important event to be taken into consideration in making a decision by investors so that a model is needed to describe a stock event. GARCH Dynamic Conditional Correlation (DCC) is a model with a conditional and variance time-dependent that describes the dynamics of stock volatility. This study discusses the DCC GARCH model equation which is applied to the LQ 45 data. The model obtained for BCA shares ?t =  +  +   so it can be concluded that DCC GARCH is more appropriate for BCA shares.</dc:description>
	<dc:publisher xml:lang="en">Hasanuddin University</dc:publisher>
	<dc:date>2021-07-23</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.unhas.ac.id/index.php/ESTIMASI/article/view/10569</dc:identifier>
	<dc:identifier>10.20956/ejsa.v2i2.10569</dc:identifier>
	<dc:source xml:lang="en">ESTIMASI: Journal of Statistics and Its Application; Vol. 2, No. 2, Juli, 2021 : Estimasi; 80-87</dc:source>
	<dc:source>2721-379X</dc:source>
	<dc:source>2721-3803</dc:source>
	<dc:language>en</dc:language>
	<dc:relation>https://journal.unhas.ac.id/index.php/ESTIMASI/article/view/10569/7102</dc:relation>
	<dc:rights xml:lang="en">Copyright (c) 2021 ESTIMASI: Journal of Statistics and Its Application</dc:rights>
</oai_dc:dc>