2018•IOP Conference Series Materials Science and EngineeringOpen access

Volatility in GARCH Models of Business Tendency Index

Dwi A S Wahyuni, Sutarman Wage, Ateng Hartono

Abstract

This paper aims to obtain a model of business tendency index by considering volatility factor. Volatility factor detected by ARCH (Autoregressive Conditional Heteroscedasticity). The ARCH checking was performed using the Lagrange multiplier test. The modeling is Generalized Autoregressive Conditional Heteroscedasticity (GARCH) are able to overcome volatility problems by incorporating past residual elements and residual variants.

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Key concepts: Autoregressive conditional heteroskedasticity, Heteroscedasticity, Volatility (finance), Econometrics, Autoregressive model, Arch, Residual, Index (typography)