TIME SERIES MODELING OF STOCK RETURN USING EXPONENTIAL GARCH (EGARCH) MODEL
The EGARCH model is one of the asymmetric GARCH models. This model is capable of capturing residuals smaller than zero (bad news) and larger than zero (good news) in volatility. The EGARCH model has asymmetric coefficients to address the leverage effect by modeling leverage with heteroscedasticit...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/74487 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |