PERAMALAN HARGA EMAS MENGGUNAKAN PENGUKURAN VOLATILITAS MODEL GARCH

Asriani Hasan

Abstract


Penelitian ini dilakukan untuk melihat peramalan return harga emas dengan menggunakan model GARCH (Generalized Autoregressive Conditional Heteroskedasticity). Hasil analisis return harga emas menunjukkan data tersebut mengalami pengelompokan volatilitas (volatility clustering) atau kasus heteroskedastisitas. Data yang digunakan merupakan data harga emas periode bulanan yaitu Desember 2007 sampai Desember 2018. Model terbaik yang diperoleh yaitu GARCH (1,1) dengan memperoleh hasil peramalan return harga emas untuk periode Januari 2019 sampai Desember 2019.
Kata Kunci : Emas,Peramalan,Volatilitas

References


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DOI: https://doi.org/10.37531/sejaman.v2i2.370

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