Pemodelan Return Saham Syariah di Indonesia menggunakan Model AGARCH dengan Distribusi Skewed Student-t

Authors

  • Muhammad Safi’ Mulhan UIN Sunan Kalijaga
  • Mohammad Farhan Qudratullah UIN Sunan Kalijaga

Keywords:

AGARCH, Saham Syariah, Skewed student-t

Abstract

Terdapat 2 hal yang selalu menyertai investasi, yaitu return dan risiko, hal ini berlaku juga pada investasi saham syariah. Harga saham setiap harinya mengalami perubahan, datanya memiliki volatilitas yang tidak konstan (heterokedastisitas) dan bersifat tidak simetri (asimetri). Sehingga untuk memodelkannya dapat menunakan model Asymmetric Generalized Autoregressive Conditional Heteroscedasticity (AGARCH) dengan distribusi Skewed Student-t. Penelitian ini membahas pemodelan return saham syariah mengunakan data penutupan harian Jakarta Islamic Index (JII) periode Maret 2013-April 2017 dengan model AGARCH-Skewed Student-t. Hasil dari penelitian ini diperoleh bahwa model ARIMA(0,0,3)-AGARCH(2,0) adalah model terbaik untuk meramalkan return saham syariah.

[Two things always accompany investment, namely, return and risk, this also applies to Islamic stock investments. Stock prices change every day, the data has the volatility that is not constant (heteroscedasticity) and is asymmetry. So to model it, we can use the Asymmetric Generalized Autoregressive Conditional Heteroscedasticity (AGARCH) model with the Skewed Student-t distribution. This study discusses the modeling of Islamic stock returns using the daily closing data of the Jakarta Islamic Index (JII) for the period March 2013-April 2017 with the AGARCH-Skewed Student-t model. The results of this study show that the ARIMA(0,0,3)-AGARCH (2,0) model is the best model for predicting Islamic stock returns.]

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Author Biography

Muhammad Safi’ Mulhan, UIN Sunan Kalijaga

Program Studi Matematika, Fakultas Sains dan Teknologi

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Published

2021-04-30

How to Cite

Mulhan, M. S. ., & Qudratullah, M. F. (2021). Pemodelan Return Saham Syariah di Indonesia menggunakan Model AGARCH dengan Distribusi Skewed Student-t. Jurnal Fourier, 10(1), 1–12. Retrieved from https://fourier.or.id/index.php/FOURIER/article/view/142

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