MODEL THRESHOLD AUTOREGRESSIVE (TAR) PADA INTRADAY RANGE RETURN

ILSAM MUHARTI, Prof.Dr.rer.nat Dedi Rosadi, M.sc

2015 | Tesis | S2 Matematika

Di dalam tesis ini dibahas model non linier threshold autoregressive pada intraday range return. Uji nonlinieritas dilakukan dengan uji keenan. Sementara itu ada atau tidaknya variabel threshold diuji dengan threshold likelihood ratio test. Fokus utamanya estimasi parameter yang diterapkan pada indeks pasar saham.

This thesis discussed in the non linear model threshold autoregressive of the intraday range return. Nonlinearity test conducted by keenan test. While the presence or not of a variable threshold is tested with the likelihood ratio test threshold. The main focus of parameter estimation is applied to the stock market index.

Kata Kunci : intraday range return, keenan test,threshold variabel, threshold autoregressive model