Volatility in GARCH Models of Business Tendency Index

4th International Conference on Operational Research

Wahyuni, Dwi A. S.^1 ; Wage, Sutarman^1 ; Hartono, Ateng^2

Department of Mathematics, Universitas Sumatera Utara, Medan

20155, Indonesia^1

Statistics Indonesia, Medan, Indonesia^2

关键词: Autoregressive conditional heteroscedasticity;    GARCH models;    Generalized autoregressive conditional heteroscedasticity;    Residual elements;   

Others  :  https://iopscience.iop.org/article/10.1088/1757-899X/300/1/012033/pdf
DOI  :  10.1088/1757-899X/300/1/012033

来源: IOP

【 摘 要 】

This paper aims to obtain a model of business tendency index by considering volatility factor. Volatility factor detected by ARCH (Autoregressive Conditional Heteroscedasticity). The ARCH checking was performed using the Lagrange multiplier test. The modeling is Generalized Autoregressive Conditional Heteroscedasticity (GARCH) are able to overcome volatility problems by incorporating past residual elements and residual variants.