Ayu, Annisa Tri (2019) Pemodelan Vector Autoregressive (VAR)- Multivariate Constant Conditional Correlation Generalized Autoregressive Conditional Heteroscedasticity (CCC GARCH). Sarjana thesis, Universitas Brawijaya.
Abstract
Model Vector Autoregressive (VAR) merupakan pengembangan dari model Autoregressive (AR) pada kasus deret waktu multivariat. Model VAR merupakan pemodelan deret waktu yang memiliki hubungan dua arah. Model VAR(p) memiliki asumsi ragam sisaan model yang bersifat konstan atau homogen. Apabila asumsi tersebut tidak terpenuhi akibat data yang memiliki volatilitas tinggi, maka perlu dilakukan pemodelan terhadap ragam sisaan. Pemodelan pada ragam sisaan dapat dilakukan dengan representasi Multivariate GARCH. Terdapat tiga representasi pada Multivariate GARCH yaitu representasi Constant Conditional Correlation (CCC), representasi Dynamic Conditional Correlation (DCC), serta representasi Baba, Engle, Kraft dan Kroner (BEKK). Pada penelitian ini bertujuan untuk memodelkan Suku Bunga Kebijakan (SBK) dan Indeks Harga Saham Gabungan (IHSG) menggunakan model VAR-CCC GARCH(1,1). Hasil penelitian ini menunjukkan pada data SBK dan IHSG terdapat volatilitas dan merupakan pemodelan VAR(2)-CCC GARCH(1,1) bahwa SBK dipengaruhi oleh SBK dua bulan sebelumnya dan IHSG dipengaruhi oleh IHSG dua bulan sebelumnya
English Abstract
Vector Autoregressive (VAR) model is an expansion of autoregressive model that is used to capture the linear interdependencies among multiple time series. VAR(p) model assumes that there is a homogeneity of variance in the data set. If the underlying assumption is not satisfied due to the high volatility of the data, which may results in a non-homogeneity variance, there needs to be a variance modeling. In this case, Multivariate GARCH can be used to model the variance. There are three representation of Multivariate GARCH: (1) Constant Conditional Correlation (CCC); (2) Dynamic Conditional Correlation (DCC); and (3) Baba, Engle, Kraft, and Kroner (BEKK) representation. This research aims to model the Suku Bunga Kebijakan (SBK) and Indeks Harga Saham Gabungan (IHSG) using the VAR-CCC GARCH model (1,1). The result shows that there is a high volatility in both SBK and IHSG data, and that their data are affected by each of their own data from two months prior.
Other obstract
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| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | SKR/MIPA/2019/299/051910970 |
| Subjects: | 500 Natural sciences and mathematics > 519 Probabilities and applied mathematics > 519.5 Statistical mathematics > 519.53 Descriptive statistics, multivariate analysis, analysis of variance and covariance > 519.537 Correlation analysis (Association analysis) |
| Divisions: | Fakultas Matematika dan Ilmu Pengetahuan Alam > Statistika |
| Depositing User: | Budi Wahyono Wahyono |
| Date Deposited: | 10 Aug 2020 07:59 |
| Last Modified: | 10 Aug 2020 07:59 |
| URI: | http://repository.ub.ac.id/id/eprint/179666 |
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