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Prediksi Volatilitas di Bursa Regional Asian.

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Quick reversal in direction the price of securities can cause the high volatility and make the prediction harder. Sometimes direction of volatility to return is not only has negative correlation, but also has the asymmetric relation. The anomaly security return is the pattern that most not the followed volatility on the same day.

This research is conducted to know the volatility structure in market ASIAN. The research approach is method GARCH and TARCH. Result of the research indicates that there is strong correlation between volatility situations with situation return. Otherwise situation of volatility have the asymmetric relation with situation retun is as of week.

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Informasi Detail

Judul Seri

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No. Panggil

EKUBANK/vol. 03, November 2007; hal. 41-48

Penerbit

Jakarta : STEKPI., 2007

Deskripsi Fisik

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Bahasa

Indonesia

ISBN/ISSN

8544131

Klasifikasi

NONE

Tipe Isi

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Tipe Media

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Tipe Pembawa

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Edisi

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Subjek

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Info Detail Spesifik

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Pernyataan Tanggungjawab

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