Analisis Empiris dari Variasi Kontinu dan Lompatan dalam Model Threshold GARCH dengan Ukuran Realized

Didit Budi Nugroho, Fika Maula Hanafi, Agnes Dhika Puspitasari, Faldy Tita, Lennox Larwuy

Abstract


Volatilitas adalah ukuran fluktuasi harga aset keuangan yang tak terpisahkan dari dinamika pasar, tidak hanya sebagai indikator risiko tetapi juga sebagai sumber informasi tentang peluang dan ketidakpastian bagi investor. Pendekatan utama dalam mengukur risiko pasar keuangan yaitu dengan pemodelan dan estimasi volatilitas. Studi ini fokus pada pemodelan volatilitas menggunakan kerangka Threshold Generalized Autoregressive Conditional Heteroskedasticity (TGARCH). Pertama kali ini mengkonstruksi model TGARCH-X dan Realized TGARCH (RealTGARCH) yang memperhatikan ukuran Realized Volatility (RV) sebagai variabel eksogen. Selanjutnya, model tersebut dikembangkan menjadi model TGARCH-CJ dan RealTGARCH-CJ dengan cara mendekomposisi komponen RV menjadi komponen kontinu dan lompatan. Analisis empiris didasarkan pada hasil estimasi model menggunakan metode Adaptive Random Walk Metropolis untuk data Tokyo Stock Price Index (TOPIX) Jepang. Perbandingan pencocokan model menunjukkan keunggulan yang signifikan untuk model-model dengan komponen kontinu dan lompatan. Dengan pengaplikasian ukuran RV interval waktu 1 dan 5 menit, model terbaik diberikan oleh RealTGARCH-CJ yang mengadopsi ukuran RV 1 menit.

Keywords


data frekuensi tinggi; inferensi Bayes; volatilitas

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References


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DOI: http://dx.doi.org/10.12962/limits.v21i3.20426

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