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ANALISIS MODEL THRESHOLD GARCH DAN MODEL EXPONENTIAL GARCH PADA PERAMALAN IHSG

Unnes Journal of Mathematics · Vol. 5 No. 1 (2017) · hlm. 55–63

DOI
10.15294/ujm.v5i1.13111
ISSN
2460-5859, 2252-6943
Terbit
2017-02-27
Penerbit
Universitas Negeri Semarang
Bahasa
eng

Abstrak

The purpose of this research were to know (1) the best model among TGARCH model and EGARCH model on predicting JCI value in BEI (2) the results forecasting JCI value in BEI using the best model for a few days later. This reseacrh focused on analysis of TGARCH and EGARCH models in forecasting JCI value. Procedure which used in this research were formulate problem, collecting data, analysis data dan conclusion. Data collected with documentation method that is collected secondary data and literature. Software EVIEWS 6 used as a analysis tool of JCI data. This research result in conclusions that is (1) The best model among models TGARCH and EGARCH models on predicting JCI value in BEI is TGARCH model (2) The results forecasting JCI value in BEI use TGARCH model for day 42th is 5112.81 and for day 43th until day 50th obtained 5112.82 (constant).

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  • State University of Semarang
  • Institut Agama Islam Negeri Kendari
  • University of Brawijaya
  • State University of Jakarta
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Rekan penulisOrganisasiArtikel bersama
Kartono KartonoState University of Semarang8
Putriaji HendikawatiState University of Semarang7
Sugiman SugimanAfiliasi tidak diketahui7
Mulyono MulyonoAfiliasi tidak diketahui6
Fathur RokhmanState University of Semarang5
Masrukan MasrukanState University of Semarang5
Isnarto IsnartoState University of Semarang4
Iwan JunaediState University of Semarang4
Mohammad AsikinState University of Semarang4
St. Budi WaluyaAfiliasi tidak diketahui3
Walid WalidAfiliasi tidak diketahui3
Iqbal KharisudinAfiliasi tidak diketahui3
Dwijanto DwijantoState University of Semarang3
YL SukestiyarnoState University of Semarang3
Wardono WardonoAfiliasi tidak diketahui3
Farida NursyahidahState University of Semarang2
Kristina WijayantiState University of Semarang2
Kartono KartonoState University of Semarang2
Andi Saparuddin NurState University of Semarang2
Rochmad RochmadState University of Semarang2
Dwi ArifaState University of Semarang2
Gunawan TjokroState University of Semarang2
Heri YantoState University of Semarang2
Abdul RajagukgukAfiliasi tidak diketahui2
Heriyanto HeriyantoAfiliasi tidak diketahui2
Yuninda Diah PratiwiAfiliasi tidak diketahui2
Endang SetyowatiUniversity of Brawijaya2
Nuriana Rachmani DewiAfiliasi tidak diketahui2
Rohimatul AzizahAfiliasi tidak diketahui2
Kristina WijayantiAfiliasi tidak diketahui2
Adi Nur CahyonoAfiliasi tidak diketahui2
Siti FatimahState University of Jakarta1
Kompri KompriAfiliasi tidak diketahui1
Wulan Anna PertiwiAfiliasi tidak diketahui1
Tri Kurniati SAfiliasi tidak diketahui1
Tria Rahma IsnainiAfiliasi tidak diketahui1
Yunila SukmaAfiliasi tidak diketahui1

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Sumber metadata: OAI-PMH (metadata jurnal) https://journal.unnes.ac.id/sju/index.php/ujm/oai, pertama di-harvest 6 Nov 2026, terakhir terlihat 6 Nov 2026.
Metadata asli (oai_dc) 
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	<dc:title xml:lang="en-US">ANALISIS MODEL THRESHOLD GARCH DAN MODEL EXPONENTIAL GARCH PADA PERAMALAN IHSG</dc:title>
	<dc:creator>Susanti, Susanti</dc:creator>
	<dc:creator>Zaenuri, Zaenuri</dc:creator>
	<dc:creator>Mariani, Scolastika</dc:creator>
	<dc:description xml:lang="en-US">The purpose of this research were to know (1) the best model among TGARCH model and EGARCH model on predicting JCI value in BEI (2) the results forecasting JCI value in BEI using the best model for a few days later. This reseacrh focused on analysis of TGARCH and EGARCH models in forecasting JCI value. Procedure which used in this research were formulate problem, collecting data, analysis data dan conclusion. Data collected with documentation method that is collected secondary data and literature. Software EVIEWS 6 used as a analysis tool of JCI data. This research result in conclusions that is (1) The best model among models TGARCH and EGARCH models on predicting JCI value in BEI is TGARCH model (2) The results forecasting JCI value in BEI use TGARCH model for day 42th is 5112.81 and for day 43th until day 50th obtained 5112.82 (constant).</dc:description>
	<dc:publisher xml:lang="en-US">Universitas Negeri Semarang</dc:publisher>
	<dc:date>2017-02-27</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:type xml:lang="en-US">Peer-reviewed Article</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.unnes.ac.id/sju/ujm/article/view/13111</dc:identifier>
	<dc:identifier>10.15294/ujm.v5i1.13111</dc:identifier>
	<dc:source xml:lang="en-US">Unnes Journal of Mathematics; Vol 5 No 1 (2016); 55-63</dc:source>
	<dc:source>2460-5859</dc:source>
	<dc:source>2252-6943</dc:source>
	<dc:source>10.15294/ujm.v5i1</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://journal.unnes.ac.id/sju/ujm/article/view/13111/7186</dc:relation>
	<dc:rights xml:lang="en-US">Copyright (c) 2017 Unnes Journal of Mathematics</dc:rights>
</oai_dc:dc>