TIME SERIES MODELING OF STOCK RETURN USING EXPONENTIAL GARCH (EGARCH) MODEL

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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Main Author: Febri Saputra, Dion
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
id id-itb.:74487
spelling id-itb.:744872023-07-17T09:33:07ZTIME SERIES MODELING OF STOCK RETURN USING EXPONENTIAL GARCH (EGARCH) MODEL Febri Saputra, Dion Indonesia Final Project ARIMA-EGARCH model, return, forecasting, VaR. INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/74487 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 heteroscedasticity and asymmetric effects. The modeling is based on daily stock price data of PT. Astra International Tbk. (ASII) from January 4, 2021, to October 31, 2022. ASII stock traded on the stock exchange has fluctuating values and non-constant volatility of stock returns (heteroskedastic). One risk measurement that can be used to predict stock investment risk is Value-at-Risk (VaR). The research results indicate that the best model is ARIMA(1,0,0)-EGARCH(4,5) with an AIC of -5.1082, BIC of -4.9524, and MSE of 0.0003546861. Therefore, the predicted results using the ARIMA(1,0,0)-EGARCH(4,5) model for the period of November 1, 2022, November 2, 2022, November 3, 2022, November 4, 2022, and November 7, 2022 are - 0.0019294, 0.0007587, 0.0003357, 0.0004022, and 0.0003918 respectively, with VaR values of 0.0323619, 0.03334215, 0.03086995, 0.0329255, and 0.03222855 at a 95% confidence level. text
institution Institut Teknologi Bandung
building Institut Teknologi Bandung Library
continent Asia
country Indonesia
Indonesia
content_provider Institut Teknologi Bandung
collection Digital ITB
language Indonesia
description 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 heteroscedasticity and asymmetric effects. The modeling is based on daily stock price data of PT. Astra International Tbk. (ASII) from January 4, 2021, to October 31, 2022. ASII stock traded on the stock exchange has fluctuating values and non-constant volatility of stock returns (heteroskedastic). One risk measurement that can be used to predict stock investment risk is Value-at-Risk (VaR). The research results indicate that the best model is ARIMA(1,0,0)-EGARCH(4,5) with an AIC of -5.1082, BIC of -4.9524, and MSE of 0.0003546861. Therefore, the predicted results using the ARIMA(1,0,0)-EGARCH(4,5) model for the period of November 1, 2022, November 2, 2022, November 3, 2022, November 4, 2022, and November 7, 2022 are - 0.0019294, 0.0007587, 0.0003357, 0.0004022, and 0.0003918 respectively, with VaR values of 0.0323619, 0.03334215, 0.03086995, 0.0329255, and 0.03222855 at a 95% confidence level.
format Final Project
author Febri Saputra, Dion
spellingShingle Febri Saputra, Dion
TIME SERIES MODELING OF STOCK RETURN USING EXPONENTIAL GARCH (EGARCH) MODEL
author_facet Febri Saputra, Dion
author_sort Febri Saputra, Dion
title TIME SERIES MODELING OF STOCK RETURN USING EXPONENTIAL GARCH (EGARCH) MODEL
title_short TIME SERIES MODELING OF STOCK RETURN USING EXPONENTIAL GARCH (EGARCH) MODEL
title_full TIME SERIES MODELING OF STOCK RETURN USING EXPONENTIAL GARCH (EGARCH) MODEL
title_fullStr TIME SERIES MODELING OF STOCK RETURN USING EXPONENTIAL GARCH (EGARCH) MODEL
title_full_unstemmed TIME SERIES MODELING OF STOCK RETURN USING EXPONENTIAL GARCH (EGARCH) MODEL
title_sort time series modeling of stock return using exponential garch (egarch) model
url https://digilib.itb.ac.id/gdl/view/74487
_version_ 1822279909757681664

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