PENGKLUSTERAN DATA TIME SERIES KEUANGAN DENGAN MODEL GARCH (1,1) PADA PASAR SAHAM INTERNASIONAL

Elfa Rafulta

doi:10.31958/js.v4i1.61

PENGKLUSTERAN DATA TIME SERIES KEUANGAN DENGAN MODEL GARCH (1,1) PADA PASAR SAHAM INTERNASIONAL

Authors

Elfa Rafulta Program Studi Pendidikan Matematika STKIP Yayasan Dharma Bakti Lubuk Alung Jl. Pulau Jantung Indah No 91 Pasar Mudik Lubuk Alung Kabupaten Padang Pariaman, Sumatera Barat.

DOI:

https://doi.org/10.31958/js.v4i1.61

Abstract

paper introduced a method clustering for financial data. By using the model Heteroskidastity Generalized autoregressive conditional (GARCH), will be estimated distance between the stock market using GARCH-based distance. The purpose of this method is mengkluster international stock markets with different amounts of data.

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Keywords: GARCH, Cluster Analisis, Intenational Stock Markets

Author Biography

Elfa Rafulta, Program Studi Pendidikan Matematika STKIP Yayasan Dharma Bakti Lubuk Alung Jl. Pulau Jantung Indah No 91 Pasar Mudik Lubuk Alung Kabupaten Padang Pariaman, Sumatera Barat.

Program Studi Pendidikan Matematika STKIP Yayasan Dharma Bakti Lubuk Alung

Jl. Pulau Jantung Indah No 91 Pasar Mudik Lubuk Alung Kabupaten Padang

Pariaman, Sumatera Barat.

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Published

2016-09-22

Issue

Vol. 4 No. 1 (2012)

Section

Artikel

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