Perbandingan Model Peramalan Volatilitas Return Saham PT Aneka Tambang Tbk (ANTM) Periode 2015–2025
Keywords:
Return saham, Volatilitas, Model GARCH, EGARCH, , TGARCHAbstract
Penelitian ini bertujuan untuk menganalisis karakteristik volatilitas serta membandingkan kinerja beberapa model runtun waktu dalam memodelkan return saham PT Aneka Tambang Tbk selama periode 2015–2025. Data yang digunakan berupa harga penutupan harian saham dengan total 2.640 observasi yang kemudian dihitung return saham menggunakan return logaritmik menjadi 2.639 observasi. Tahapan analisis yang digunakan pada penelitian ini, yaitu uji stasioneritas menggunakan Augmented Dickey–Fuller (ADF), pengujian heteroskedastisitas bersyarat menggunakan ARCH-LM test, serta estimasi model volatilitas GARCH(1,1), EGARCH(1,1), dan TGARCH (1,1), estimasi parameter, pemilihan model terbaik, serta uji diagnostik terhadap model terbaik. Hasil uji ADF menunjukkan bahwa return saham bersifat stasioner, sedangkan uji ARCH-LM menunjukkan adanya heteroskedastisitas. Berdasarkan hasil analisis diperoleh model EGARCH(1,1) adalah model terbaik dengan nilai Log-Likelihood, AIC, serta BIC terkecil. Selanjutnya berdasarkan hasil uji diagnostik menunjukkan bahwa model EGARCH(1,1) layak digunakan untuk melakukan peramalan pada volatilitas return saham.
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