Abstract
An extraordinary event that causes shock can affect volatility which causes asymmetric variance and error or commonly called asimetric shock / effect. This paper aims to analyze the volatility of stock returns of PT ANTAM (Persero) Tbk and PT Adaro Energy Tbk in the period of 2008 to 2016. The research results show that ANTM and ADRO have a GARCH effect and also have a leverage effect where the optimal model is found in the GJR model (0,1,1) for ANTM and GJR (1,1,1) for ADRO. Forecasting results shows that ADRO has higher volatility but in a relatively low percentage of volatility about 0.001 while ANTM have a tendency to decrease volatility with a fairly large percentage of volatility about 0.0025.
 
 Keywords: Volatility, GARCH, EGARCH, GJR
Highlights
Model tersebut terdapat shock yang disebabkan oleh krisis global digeneralisasikan oleh Bollerslev pada tahun 1986
Research in International Business and Finance, 45, pp.307322
Summary
Menggunakan Oxmetrics untuk 1961 observasi, Log-likelihood ANTM didapat hasil uji untuk ADRO adalah sebagai berikut: Model P log-likelihood SC HQ AIC. Pada model EGARCH (0,1,1) dapat kita lihat model pada ADRO lebih signifikan dibandingkan ANTM dimana theta 1 ADRO sebesar 0.0086. G@RCH(1) 1961 4.257,5816 -4,3268 -4,3340 -4,3382 G@RCH(2) 1961 4.220,4823 -4,2812 -4,2920 -4,2983 G@RCH(3) 1961 4.264,6788 -4,3302 -4,3392 -4,3444 signifikan ditingkat keyakinan 5% dan ANTM sebesar 0.0755 signifikan ditingkat keyakinan 10%. Dari hasil pemilihan model sebelumnya, didapatkan bahwa GJR/TGARCH adalah model c. Oxmetrics untuk 1965 observasi, didapat hasil ANTM sebagai berikut: Tabel 5. Hasil uji GJR (1,1) ANTM yang paling baik untuk menggambarkan data kedua saham tersebut dimana dapat ditunjukan dengan nilai SC, HQ dan AIC yang paling terkecil, sehingga dapat dibuat persamaan model volatilitasnya: Model volatilitas ANTM σt hh 0 146857 0 066253 ut
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