PERAMALAN HARGA EMAS DUNIA DENGAN MODEL GLOSTEN-JAGANNATHAN-RUNCLE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY
نویسندگان
چکیده
Gold investment is considered safer and has less risk than other types of investment. One the important knowledge in investing gold predicting price future through modeling past. The purpose this study to model past so that it can be used predict prices future. world data a time series heteroscedasticity properties, solve problem GARCH. This an asymmetric effect, GARCH used, namely Glosten-Jagannathan-Runkle (GJR-GARCH) data. divided into in-sample from January 3, 2012 December 31, 2018 create out-sample 1, 2019 2020, which evaluate performance based on MAPE values. best ARIMA(1,1,0) GJR-GARCH(1,1) with out sample value 18,93% shows good forecasting abilities.
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ژورنال
عنوان ژورنال: Jurnal Gaussian : Jurnal Statistika Undip
سال: 2022
ISSN: ['2339-2541']
DOI: https://doi.org/10.14710/j.gauss.v11i2.35477