PENGKLUSTERAN DATA TIME SERIES KEUANGAN DENGAN MODEL GARCH (1,1) PADA PASAR SAHAM INTERNASIONAL

Elfa Rafulta

doi:10.31958/js.v4i1.61

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

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References

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DOI: http://dx.doi.org/10.31958/js.v4i1.61