FORECASTING VOLATILITY OF SGARCH(1,1) MODEL
Forecasting volatility is an important aspects in financial markets because it can be used for risk management and asset allocation. There are various time series models that can be used to forecast volatility. The model that used in this thesis is Stochastic Generalized Autoregressive Conditiona...
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| Format: | Theses |
| Language: | Indonesia |
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| Online Access: | https://digilib.itb.ac.id/gdl/view/33606 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |