PERAMALAN VOLATILITAS RETURN SAHAM MENGGUNAKAN METODE ASYMMETRIC POWER ARCH (APARCH)
نویسندگان
چکیده
منابع مشابه
Penambahan emosi menggunakan metode manipulasi prosodi untuk sistem text to speech bahasa Indonesia
Abstrak—Text To Speech (TTS) merupakan suatu sistem yang dapat mengonversi teks dalam format suatu bahasa menjadi ucapan sesuai dengan pembacaan teks dalam bahasa yang digunakan. Fokus penelitian yaitu suatu konsep pengucapan natural, dengan usaha “memanusiakan” pelafalan sintesa suara sistem Text To Speech yang dihasilkan. Kebutuhan utama yang digunakan untuk sistem Text To Speech dalam peneli...
متن کاملThe Impact of Asymmetric Risk on Expected Return
The main goal of the present study is testing asymmetric risk pricing and comparing it with pricing of traditional risk measures in Tehran Stock Market. Accordingly, a sample consisting of 101 companies listed in Tehran Stock Market during 2002-2013 went under investigation. In order to test asymmetric risk pricing, regression model of panel data was applied. The results revealed a positive and...
متن کاملModeling S&P 500 STOCK INDEX using ARMA-ASYMMETRIC POWER ARCH models
In this paper, the S&P 500 stock index is studied for its time varying volatility and stylized facts. The ARMA mean equation with asymmetric power ARCH errors is used to model the series correlations and the conditional heteroscadesticity in the asset returns. The conditional distributions of the standardized residuals are assumed to be the normal distribution, the t distribution or the skew-t ...
متن کاملModeling and forecasting exchange rate volatility in Bangladesh using GARCH models: a comparison based on normal and Student’s t-error distribution
Methods: Using daily exchange rates for 7 years (January 1, 2008, to April 30, 2015), this study attempted to model dynamics following generalized autoregressive conditional heteroscedastic (GARCH), asymmetric power ARCH (APARCH), exponential generalized autoregressive conditional heteroscedstic (EGARCH), threshold generalized autoregressive conditional heteroscedstic (TGARCH), and integrated g...
متن کاملCytotoxic effect of γ-sitosterol from Kejibeling (Strobilanthes crispus) and its mechanism of action towards c-myc gene expression and apoptotic pathway
Metode: Penelitian in vitro ini menggunakan kultur sel kanker kolon manusia (Caco-2), sel kanker hepar manusia (HepG2), sel kanker payudara tergantung hormon (MCF7) dan kultur sel normal hepar manusia (Chang Liver). Efek sitotoksik diukur melalui uji MTT melalui penentuan kadar yang membunuh 50% sel (IC50). Mekanisme sitotoksik dipelajari dengan menentukan pengaruh penambahan γ-sitosterol pada ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: E-Jurnal Matematika
سال: 2020
ISSN: 2303-1751
DOI: 10.24843/mtk.2020.v09.i03.p293