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437  Articles
1 of 45 pages  |  10  records  |  more records»
This study assesses the Value at Risk (VaR) and Expected Shortfall (ES) methods in gauging exchange rate risk in PT Telkom Indonesia Tbk, using historical Bank Indonesia closing rates USD/IDR and JPY/IDR from January 2022 - December 2022. Results demonstr... see more

Model GARCH–M merupakan pengembangan model GARCH yang dimasukkan variansi bersyarat ke dalam persamaan mean. Model ARIMAX–GARCH merupakan penggabungan model ARIMAX dan GARCH. Kedua model tersebut dapat digunakan untuk mengatasi masalah heteroskedastisitas... see more

Macroeconomic variables often have an impact on stock price volatility and this is needed especially to determine stock price policies in the future. The approach used to see the extent of the volatility of macroeconomic variables on stock prices is the A... see more

Gold is a multifunctional precious metal. Apart from being jewelry, gold is a form of investment. For this reason, the public or investors need to know the estimated daily gold price for transactions for the public or investors who want to invest or also ... see more

Red chili is an agricultural commodity with high price volatility. Several previous studies stated that volatility was caused by weather effect on red chili production and shocks on public consumption. However, the other research stated that volatility wa... see more

Nghiên c?u này xem xét m?i tuong quan thay d?i theo th?i gian c?a ch? s? th? tru?ng ch?ng khoán Vi?t Nam (VN-index) v?i các th? tru?ng ch?ng khoán l?n trên th? gi?i bao g?m ch? s? ch?ng khoán New York (NYSE), th? tru?ng ch?ng khoán Nh?t B?n (Nikkei) và ch... see more

The stock market is continuously changing with uncertainties that can create risks. Prompt information dissemination and rapid capital flow will cause stock price fluctuations, causing volatility in stock prices. This research examines the behavior of vol... see more

Gold was the one of the long-term investment commodities that were considered as the safe heaven for investors. The gold price was strongly influenced by global socioeconomic that causing fluctuations in price changes. The Fluctuations of gold price would... see more

Tulisan ini membahas tentang perbandingan model ARCH (1) dan GARCH (1,1) dengan melihat perilaku kurtosis dan fungsi autokorelasi baik secara analitik maupun menggunakan simulasi. Metode yang digunakan adalah studi literatur. Hasil yang diperoleh menunjuk... see more

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