PERHITUNGAN NILAI BETA DARI BEBERAPA SAHAM UNGGULAN DI INDONESIA DENGAN MENGGUNAKAN METODE GARCH
ABSTRACT: The objective of
investment in the capital market is to acquire dividends and capital gain. The
fact proves that the advantage of investation risky assets is uncertain . This
is because of the difficulty in analyzing and predicting Return and stock
losses due to factors that affect the movement of the stock price , such as
economic factors , political , social , and security. The model can be used by
investors in predicting stock returns expected that Generalized Autoregressive
Conditional Heteroscedaticity (GARCH). In this study calculations beta value of
some leading stocks in Indonesia by using Generalized Autoregressive
Conditional Heteroscedaticity (GARCH) are presented . The data used this search
is secondary data covering daily data sampled 5 shares of PT Unilever Indonesia
Tbk , PT Indosat Tbk , PT Indofood Sukses Makmur Tbk , PT Telkom Indonesia Tbk
, PT Holcim Indonesia Tbk. From the results described fifth beta value of these
shares using the method GARCH beta greater than the market in the period from
23 September 2013 until 24 September 2014.
Penulis: Ni Kadek Puspitayanti
Kode Jurnal: jpmatematikadd160180
