HIGHLIGHTS
SUMMARY
The EGARCH model used is the stock price index model that is formed, namely the autoregressive integrated moving average (ARIMA) EGARCH (1.4). The conclusion from the results of the research that predictions using the ARIMA model EGARCH is the best model in accommodating the asymmetric nature of the volatility of the stock price index. The results of this egarch model show more optimal prediction results seen from an error of 3% compared to other modes such as the arch model and the GARCH model. To measure volatility, there are several models that can . . .
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