Prediksi volatilitas di bursa regional asian.  

Oleh:

Kamaludin

Jenis: Article from Journal - ilmiah nasional
Dalam koleksi: Jurnal Ekubank: Ekonomi Keuangan Dan Perbankan no. 03 (Nov. 2007), page 41.
Topik: Return; Volatility; GARCH; TARCH

Ketersediaan

Perpustakaan PKPM Nomor Panggil: J122 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

Quick reversal in direction the price of securities can cause the high volatility and make the prediction harder. Sometimes direction of volatility to return is not only has negative correlation, but also has the asymmetric relation. The anomaly security return is the pattern that must not the followed volatility on the same day. This research is conducted to know the volatility structure in market ASIAN. The research approach is method GARCH and TARCH.

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