Abstract
Autoregressive Conditional Heteroscedasticity (ARCH) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models were used for modeling with heteroscedasticity data. This study aims to determine the time series model on the stock price data of PT Triputra Agro Persada Tbk. (TAPG) with modeling ARMA, ARCH and GARCH. Based on the smallest Akaike Information Criterion (AIC) and Schwarz Criterion (SC), it shows that the ARMA(1,0)-GARCH(2,1) model is the best model for predicting the value of TAPG stock prices.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
