Year: 2021
Type: article
Abstract: Stock is one of the popular financial market instruments. Issuing shares are one of the company's choices when deciding to fund a company. The uncertainty of stock prices in the stock market is an important event to be taken into consideration in making a decision by investors so that a model is needed to describe a stock event. GARCH Dynamic Conditional Correlation (DCC) is a model with a conditional and variance time-dependent that describes the dynamics of stock volatility. This study discusses the DCC GARCH model equation which is applied to the LQ 45 data. The model obtained for BCA shares 𝑸t = + + so it can be concluded that DCC GARCH is more appropriate for BCA shares.
Authors: Ika Fitriana, Erna Tri Herdiani, Georgina Maria Tinungki
Institution: Hasanuddin University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W3186040311