Gold Return Volatility Modeling Using Garch

Primadina Hasanah; Siti Qomariyah Nasir; Subchan Subchan

doi:10.31002/ijome.v2i1.1222

Title:

Gold Return Volatility Modeling Using Garch

Author:

Primadina Hasanah^(1*)

Siti Qomariyah Nasir⁽²⁾

Subchan Subchan⁽³⁾

(1) Institut Teknologi Kalimantan, Indonesia
(2) Institut Teknologi Kalimantan, Indonesia
(3) Institut Teknologi Sepuluh Nopember, Indonesia
(*) Corresponding Author
10.31002/ijome.v2i1.1222| Abstract views : 194 | PDF views : 0

Abstract

This research aims to resolve the heteroscedasticity problem in time series data by modeling and analyzing volatility the gold return using GARCH models. Heteroscedasticity means not the constant variance of residuals. The sample data is a return data from January 1, 2014 to September 23, 2016. The data analysis technique used is a stationary test, model identification, model estimation, diagnostic check, heteroscedasticity test, GARCH model estimation, and evaluation. The results showed that ARIMA (3,0,3)-GARCH (1.1) is the best model.

Keywords

GARCH; gold return; volatility

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References

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DOI: http://dx.doi.org/10.31002/ijome.v2i1.1222