Application of GARCH Model to Forecast Data and Volatility of Share Price of Energy (Study on Adaro Energy Tbk, LQ45)
<pre>Most of the times, Economic and Financial data not only become highly volatile but also show heterogeneous variances (heteroscedasticity). The common method of the Box Jenkins cannot be used for data modeling as the method has an effect of heteroscedasticity (ARCH effects). One of the usa...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2018-05-01
|
| Series: | International Journal of Energy Economics and Policy |
| Online Access: | https://www.econjournals.com/index.php/ijeep/article/view/6352 |