MODELING INDONESIAN LQ45 STOCK MARKET INDEX VOLATILITY (APPLICATION OF GARCH AND BAYESIAN GARCH)

Hadiyat, M. Arbi (2009) MODELING INDONESIAN LQ45 STOCK MARKET INDEX VOLATILITY (APPLICATION OF GARCH AND BAYESIAN GARCH). Proceeding of IndoMS International Conference on Mathematics and Its Applications (IICMA). pp. 993-999. ISSN ISBN: 978-602-96426-0-5

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Abstract

A comparative study has been conducted to examine the performance of the GARCH (Generalized Autoregressive Conditional Heteroscedasticity) model and Bayesian GARCH applied to the daily LQ45 stock market index of the Indonesian Stock Exchange, where the innovations of both models are assumed to follow Student-t. The forecasting performance of both models are evaluated with standard statistical measurement. The empirical result shows that there a no different performance between these models. This is an indication that bayesian estimation only an alternative method in predicting LQ45 volatility, but not to increase the prediction

Item Type: Article
Uncontrolled Keywords: GARCH, Bayesian, LQ45, index.
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Engineering > Department of Industrial Engineering
Depositing User: M. Arbi Hadiyat 61135
Date Deposited: 30 Aug 2013 02:03
Last Modified: 30 Aug 2013 02:03
URI: http://repository.ubaya.ac.id/id/eprint/4453

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