MEMODEL VOLATILITAS RETURN SAHAM DENGAN MODEL E-GARCH DAN T-GARCH

Sudarto Sudarto, Hanida Herni Wati, Retno Kurniasih

Abstract


Penelitian ini bertujuan untuk mengetahui model yang terbaik diantara model T-GARCH (Threshold Generalized Autoregressive Conditional Heteroscedasticity) dan model E-GARCH (Exponential Generalized Autoregressive Conditional Heteroscedasticity) dalam meramalkan return saham sub sektor perbankan yang terdaftar di Bursa Efek Indonesia. Populasi dalam penelitian ini berjumlah 45 perusahaan perbankan yang terdaftar  di Bursa Efek Indonesia (BEI) periode 2014-2018. Sedangkan untuk sampel yang digunakan berjumlah 20 perusahaan. Penelitian ini menggunakan purpossive sampling method dalam menentukan sampel.

Berdasarkan hasil penelitian dan analisis data menggunakan return saham dalam menentukan volatilitas menghasilkan simpulan bahwa model yang terbaik diantara model Threshold Generalized Autoregressive Conditional Heteroscedasticity (T-GARCH) dan model Exponential Generalized Autoregressive Conditional Heteroscedasticity (E-GARCH) dalam meramalkan return saham sub sektor perbankan yang terdaftar di Bursa Efek Indonesia adalah model Exponential GARCH. Hasil penelitian model terbaik tersebut juga diukur dengan salah satu alat ukur akurasi yaitu Root Mean Squared Error (RMSE).


Keywords


Volatilitas, Return, ARCH, GARCH, RMSE

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DOI: https://doi.org/10.32424/jeba.v23i2.1840

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