Proceedings of the 3rd International Seminar and Conference on Learning Organization (isclo-15)

Volatility Modeling Using ARCH/GARCH Method : Aplication on Asia Pasific Index

Authors
Irni Yunita
Corresponding Author
Irni Yunita
Available Online March 2016.
DOI
https://doi.org/10.2991/isclo-15.2016.34How to use a DOI?
Keywords
Volatility, Index , ARIMA, ARCH/GARCH
Abstract

The purpose of this study was to estimate the volatility model of Asia Pasific Index such as LQ45 (Indonesia), HSI (Hongkong), KLSE (Malaysia), STI (Singapore). The best ARIMA model for Asia Pasific 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, detected that the data is still contain heteroscedasticity. Then the determination of volatility obtained using Autoregressive Conditional Heteroscedasticity approach/ Generalized Autoregressive Conditional Heteroscedastic (ARCH / GARCH). The result indicate that the best GARCH model to determined the volatility of LQ45, STI, and HSI is GARCH (1.1) and KLSE is GARCH (3.0).

Copyright
© 2016, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 3rd International Seminar and Conference on Learning Organization (isclo-15)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
March 2016
ISBN
978-94-6252-174-2
ISSN
2352-5398
DOI
https://doi.org/10.2991/isclo-15.2016.34How to use a DOI?
Copyright
© 2016, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Irni Yunita
PY  - 2016/03
DA  - 2016/03
TI  - Volatility Modeling Using ARCH/GARCH Method : Aplication on Asia Pasific Index
BT  - Proceedings of the 3rd International Seminar and Conference on Learning Organization (isclo-15)
PB  - Atlantis Press
SP  - 182
EP  - 189
SN  - 2352-5398
UR  - https://doi.org/10.2991/isclo-15.2016.34
DO  - https://doi.org/10.2991/isclo-15.2016.34
ID  - Yunita2016/03
ER  -