PREDIKSI VOLATILITAS PADA MODEL ASIMETRIS TGARCH (1,1)

• Main Author: Nurhayati
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/37433
• Institution: Institut Teknologi Bandung

Volatility is one of important aspects in financial. Volatility is used to see the magnitude of return changes. Good volatility model can be determined by the ability of the model to capture the empirical properties of return and volatility. Volatility is modelled to forecast return in the future. Several time series models that are often used to forecast volatility is GARCH family model. This research discussed about the ability of TGARCH (1,1) model to capture the empirical properties of return and volatility. As a results, TGARCH (1,1) model was good in capturing the empirical properties, particularly the asym- metric effect. Furthermore, forecasting volatility using TGARCH (1,1) model is more accurate than GARCH (1,1) model.