The GARCH-X(1,1) Model with Exponentially Transformed Exogenous Variables

Penulis

  • Didit Nugroho Universitas Kristen Satya Wacana
  • Obed Dimitrio Universitas Kristen Satya Wacana
  • Faldy Tita Universitas Kristen Satya Wacana

DOI:

https://doi.org/10.23887/jstundiksha.v12i1.50714

Kata Kunci:

ARWM, GARCH-X, Student-t, Transformasi eksponensial, Volatilitas

Abstrak

This study applies the exponential transformation to the exogenous variables in the GARCH-X(1,1) model. The model assumes that the returns error is Normally and Student-t distributed. The data type used as an exogenous variable in the GARCH-X(1,1) model is Realized Volatility 10 minutes. Empirical analysis was carried out based on stock price index data FTSE100 and SP500 daily period from January 2000 to December 2021. Metropolis Adaptive Random Walk method was implemented in the Markov Chain Monte Carlo algorithm to estimate the model parameters. The High Posterior Density interval at the 95% level indicates the significance of the exponential transformation for the exogenous variable in both cases assuming a distribution for the returns error. Moreover, the Akaike Information Criterion (AIC) value indicates that the proposed model outperforms the basic GARCH-X(1,1) model, where the best fit model is given by the Student-t distributed model.

Biografi Penulis

Obed Dimitrio, Universitas Kristen Satya Wacana

Departemen Matematika dan Sains Data

Faldy Tita, Universitas Kristen Satya Wacana

Departemen Matematika dan Sains Data

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Unduhan

Diterbitkan

2023-03-20

Cara Mengutip

Nugroho, D., Dimitrio, O., & Tita, F. (2023). The GARCH-X(1,1) Model with Exponentially Transformed Exogenous Variables. JST (Jurnal Sains Dan Teknologi), 12(1), 65–72. https://doi.org/10.23887/jstundiksha.v12i1.50714

Terbitan

Vol 12 No 1 (2023): April

Bagian

Articles

Lisensi

Hak Cipta (c) 2022 Didit Nugroho, Obed Dimitrio, Faldy Tita

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