Perbandingan Model ARCH (1) dan GARCH (1,1) Ditinjau dari Perilaku Kurtosis dan Fungsi Autokorelasi

Isran K Hasan, Ismail Djakaria, Demas Novaleda Abdul Karim

Abstract


Tulisan ini membahas tentang perbandingan model ARCH (1) dan GARCH (1,1) dengan melihat perilaku kurtosis dan fungsi autokorelasi baik secara analitik maupun menggunakan simulasi. Metode yang digunakan adalah studi literatur. Hasil yang diperoleh menunjukkan bahwa secara analitik kedua model memiliki kurtosis lebih dari tiga yang berarti model tersebut merupakan model dengan distribusi ekor tebal serta kedua model tersebut mempunyai fungsi autokorelasi return kuadrat yang turun secara perlahan. Hasil simulasi numerik perbandingan MSE nilai kurtosis data dan kurtosis model menunjukkan bahwa model GARCH (1,1) memiliki MSE terkecil dengan nilai 3,702. Selanjutnya, hasil numerik perbandingan MSE untuk fungsi autokorelasi diperoleh GARCH (1,1) memiliki MSE terkecil pada dua data yaitu SMGR.JK dan JMSR.JK masing masing memiliki nilai 0,0025 dan 0,0015, sedangkan untuk data MNCN.JK MSE terkecilnya adalah model ARCH (1) dengan distribusi  dengan nilai 0,0048.

Keywords


Fungsi Autokorelasi; Heterokedastik; Kurtosis; Model ARCH; Model GARCH

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DOI: https://doi.org/10.34312/jjom.v2i2.4642



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