PENGKLUSTERAN DATA TIME SERIES KEUANGAN DENGAN MODEL GARCH (1,1) PADA PASAR SAHAM INTERNASIONAL
Elfa Rafulta
Abstract
paper introduced a method clustering for financial data. By using the model Heteroskidastity Generalized autoregressive conditional (GARCH), will be estimated distance between the stock market using GARCH-based distance. The purpose of this method is mengkluster international stock markets with different amounts of data.
Keywords: GARCH, Cluster Analisis, Intenational Stock Markets
References
Caiado J, Crato N and Pena D. 2007. A GARCH-Based Method for Clustering of Financial Time Series: International Stock Markets Evidence.
Caiado J, Crato N and Pena D. 2007. Comparison of Time Series With Unequal Lengths, Manuscript. International Stock Markets Evidence.
Bollerslev T. 1986. Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31: 307-327.
Johnson RA and Wichern DW. 1992. Applied Multivariate Statistical Analysis. Englewood Clios, Prentice-Hall.
Bain LJ and Engelhardt M. 1992. Introduction To Probability and Mathematical Statistics 2nd Edition. Duxbury Press: California.
Engle R. 1982. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom in.ation. Journal of Econometrica, 50: 987-1008.
Brockwell PJ and Davis AR. 1991. Time Series: Theory and Methods, Springer Science. New York.
Wei WWS. 2006. Time Series Analysis Univariate and Multivariate Methods. New York.
DOI:
http://dx.doi.org/10.31958/js.v4i1.61
Refbacks
There are currently no refbacks.
Copyright (c) 2016 Elfa Rafulta
This work is licensed under a
Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License .
<div class="statcounter"><a title="site stats" href="http://statcounter.com/" target="_blank"><img class="statcounter" src="//c.statcounter.com/11308792/0/15602361/0/" alt="site stats"></a></div>
Indexed by:
__________________________________ ______________________ __________________
Sainstek: Jurnal Sains dan Teknologi ISSN 2085-8019 (print) | 2580-278x (online) Published by Institut Agama Islam Negeri Batusangkar
Email: sainstek@iainbatusangkar.ac.id
View Sainstek Stats
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License .