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The predictability is represented by autocorrelation absolute value. In fact, stock is assumed follow Shiller-Summer model mentioned that stock price is sum of a walk random process and stationer process. Furthermore, the model is generalized as what have been done by Chambell-Shiller. The predictab...
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| Main Author: | |
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/12462 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | The predictability is represented by autocorrelation absolute value. In fact, stock is assumed follow Shiller-Summer model mentioned that stock price is sum of a walk random process and stationer process. Furthermore, the model is generalized as what have been done by Chambell-Shiller. The predictable component is generalize by short term and long term component. The existence of prior information and high rate dimension parameter urging the use of Metropolis-Hasting as a tool to predict parameter and Kalman filter as a tool to get likelihood function. The research had been done in 23 companies member of Kompas100 indeks which trade in Indonesian Stock Exchange. Shiller-Summer model can not show significant prediction while Campbell-Shiller generalization shows unpredictable return. |
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