Nurhayun Rismawati, 4111415026 and Sugiman, 0401617007 (2022) Long Memory Volatility Model dengan ARFIMA-HYGARCH untuk Meramalkan Return Indeks Harga Saham Gabungan (IHSG). UNNES Journal of Mathematics, 11 (1). pp. 80-91. ISSN 2252-6943

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Abstract

ARFIMA-HYGARCH is a model that can explain long-term time series and can resolve heteroscedasticity problems and asymmetric effect in the JCI return. The purpose of this research is to find the best ARFIMA-HYGARCH model for JCI return and forecast the JCI return for the period June to July 2019. The results of this research were obtained the best ARFIMA-HYGARCH model for JCI return is ARFIMA (5, -0.0102919, 4) -HYGARCH (1, d, 1) which has an AIC value of - 8.197636926 and forecast results for the period June to July 2019 indicate that for the period June 11, 2019, June 12, 2019, June 17, 2019, June 18 2019 and June 24 2019 variant forecast plots are below the mean forecast plot. This means that in this period the risk of investors investing in the capital market will be greater. Primarily for the period 12 June 2019 investors are better off not investing because in that period the forecast value is highest. Forecasting obtained from this research will be beneficial for investors in making investment decisions.

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