Melola Discovery

← Melola Discovery

Journal

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

40 authors · 185 co-authorship links · showing the 40 most connected

Hover or tap a name to highlight its co-authors. Double-click to open the author's page.

  • Hasanuddin 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 SirajangHasanuddin University6
Nurtiti SunusiHasanuddin University5
Siti SetiatiAffiliation unknown3
Muhammad Khifzhon AzwarAffiliation unknown3
RaupongAffiliation unknown2
Saleh AfAffiliation unknown2
Kuntjoro HarimurtiAffiliation unknown2
Sri SunartiAffiliation unknown2
Nur RiviatiAffiliation unknown2
Roza MulyanaAffiliation unknown2
Noto DwimartutieAffiliation unknown2
Novira WidajantiAffiliation unknown2
Rensa RensaAffiliation unknown2
Rahmi IstantiAffiliation unknown2
I Gusti Putu Suka AryanaAffiliation unknown2
Yudo Murti MupangatiAffiliation unknown2
Fatichati BudiningsihAffiliation unknown2
Lazuardhi DwipaAffiliation unknown2
Agus SudarsoAffiliation unknown2
Dina Aprillia AriestineAffiliation unknown2
Sitti SahrimanHasanuddin University2
Andi Kresna JayaHasanuddin University2
Aqilah Salsabila RahmanAffiliation unknown2
Nurhidaya LAffiliation unknown2
Sonya SonyaAffiliation unknown2
Aidawayati RangkutiHasanuddin University2
Iis Cendrah KasihHasanuddin University1
Rizki AdiputraHasanuddin University1
Asti Inayati MagfirahAffiliation unknown1
Mega Selvia TjahayaAffiliation unknown1
Andi Isna YunitaHasanuddin University1
Ratmila MammiAffiliation unknown1
Nur Alfianingsih RajaHasanuddin University1
Riska RasyidHasanuddin University1
Hendriete Tiur Marowi WaibusiHasanuddin University1
Anisa AnisaAffiliation unknown1
Victor LimanAffiliation 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 8 Nov 2026.
Original metadata (oai_dc) 
<oai_dc:dc xmlns="http://www.openarchives.org/OAI/2.0/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:oai_dc="http://www.openarchives.org/OAI/2.0/oai_dc/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/  http://www.openarchives.org/OAI/2.0/oai_dc.xsd">
	<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>