GARCH Models under Power Transformed Returns: Empirical Evidence from International Stock Indices

by Didit Budi Nugroho, Tundjung Mahatma, Yulius Pratomo
Published 2021-07-01

Modeling of Stochastic Volatility to Validate IDR Anchor Currency

by Didit Budi Nugroho, Tundjung Mahatma, Yulius Pratomo
Published 2018-08-01

SKEW NORMAL AND SKEW STUDENT-T DISTRIBUTIONS ON GARCH(1,1) MODEL

by Didit Budi Nugroho, Agus Priyono, Bambang Susanto
Published 2021-06-01

Penggunaan MS Excel untuk Estimasi Model GARCH(1,1)

by Didit Budi Nugroho, Bambang Susanto, Mince M. M. Rosely
Published 2019-01-01

Volatilitas Kurs dan Saham Mengikuti Model EGARCH(1,1) Berdistribusi Versi Skew Normal dan Student-t

by Didit Budi Nugroho, Anggita M Kusumawati, Leopoldus R Sasongko
Published 2020-08-01

Volatility Fitting Performance of QGARCH(1,1) Model with Student-t, GED, and SGED Distributions

by Didit Budi Nugroho, Bintoro Ady Pamungkas, Hanna Arini Parhusip
Published 2020-12-01

Modeling of Returns Volatility using GARCH(1,1) Model under Tukey Transformations

by Didit Budi Nugroho, Bambang Susanto, Kezia Natalia Putri Prasetia, Rebecca Rorimpandey
Published 2019-05-01