Volatility Modeling Using ARCH/GARCH Method: Application on Asia Pacific Index

被引：0
|
作者：
Yunita, Irni [1 ]
机构：
[1] Telkom Univ, Sch Business & Econ, Bandung 40267, Indonesia
来源：
PROCEEDINGS OF THE 3RD INTERNATIONAL SEMINAR AND CONFERENCE ON LEARNING ORGANIZATION (ISCLO-15) | 2016年 / 45卷
关键词：
Volatility; Index; ARIMA; ARCH/GARCH;
D O I：
暂无
中图分类号：
G40 [教育学];
学科分类号：
040101 ; 120403 ;
摘要：
The purpose of this study is to estimate the volatility model of Asia Pacific Index such as LQ45 (Indonesia), HSI (Hongkong), KLSE (Malaysia), and STI (Singapore). The best ARIMA model for Asia Pacific Indexes are: LQ45 (ARIMA (1,1,26)), HSI (ARIMA (14,1,14)), KLSE (ARIMA (17,1,1)), and STI (ARIMA (17,1,11)). The heteroscedasticity test against the best ARIMA models detect that the data still contains heteroscedasticity. Then the determination of volatility is obtained using Autoregressive Conditional Heteroscedasticity approach/Generalized Autoregressive Conditional Heteroscedastic (ARCH/GARCH). The result indicates that the best GARCH model to determine the volatility of LQ45, STI, and HSI is GARCH (1.1) whereas for KLSE is GARCH (3.0).
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页数：8
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