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Prediksi IHSG dengan model garch dan model arima

oleh Nachrowi Djalal Nachrowi, Hardius Usman ([Publisher not identified] , 2007)

 Abstrak

This study search for proper models to forecast Jakarta Composite Index (JCI) and then compare their forecasts. The stock index from strong markets, like Dow Jane Industrial Average (DJIA) and NIKKEL as well as the index from regional markets, like SEI are expected to have strong influences on JCI. More specyfcally, it is expected that SET will be able to explain the realocation of short term fund from Thailand to indonesia through capital market due to unfavour political situation in Thailand. Other than that, exchange rate is also expected to have eject on JCI movements, By using the daily data from January 3, 2005 to January 2, 2006, the stuajzfound that the proper models to be used to forecast JCI are GARCH (22) Model and ARIM4 (1,1,0) Model. The empirical results showed that the forecast from ARIM4 Model is superior to that of GARCH Model.

 File Digital: 1

 Metadata

No. Panggil : JEPI-7-2-Jan2007-73
Entri utama-Nama orang :
Entri tambahan-Nama orang :
Subjek :
Penerbitan : [Place of publication not identified]: [Publisher not identified], 2007
Sumber Pengatalogan :
ISSN :
Majalah/Jurnal : Jurnal Ekonomi Pembangunan Indoneia (JEPI)
Volume : Vol. 7 No. 2 Januari 2007: 73-92
Tipe Konten :
Tipe Media :
Tipe Carrier :
Akses Elektronik :
Institusi Pemilik : Universitas Indonesia. Perpustakaan, Lantai 4
Lokasi :
  • Ketersediaan
  • Ulasan
No. Panggil No. Barkod Ketersediaan
JEPI-7-2-Jan2007-73 03-21-099918548 TERSEDIA
Ulasan:
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