ESTIMASI HARGA HAIRCUTS SAHAM di BEJ: STUDI KASUS SAHAM LQ45

Authors

  • Adler Haymans Manurung

Keywords:

Volatility, ARCH, GARCH, VaR, Black-Scholes model and Forecasting

Abstract

The paper has objective to estimate haircuts price and testing volatility in the Jakarta Stock Exchange. There are three method to forecast volatility such as Historical Volatility, Autoregressive Conditional Heteroscedasticity (ARCH) dan Generalized Autoregressive Conditional Heteroscedasticity (GRACH). Value at Risik, Minimum return (negative), and Black-Scholes Model used to estimate haircuts price. This paper found that all method look similar result.

Published

2017-03-16