PERAMALAN VOLATILITAS HARGA EMAS MENGGUNAKAN MARKOV REGIME-SWITCHING; (Forecasting Volatility Gold Price Using Markov Regime-Switching)

Hasan, Asriani, Dedi Rosadi

2015 | Disertasi | FMIPA

To forecast the gold price volatility is to use Markov Regime-Switching GARCH (MRS-GARCH). This model allows the dynamics of the volatility that differents according to the unobservable variables. MRS-GARCH models are an improvement from GARCH models used for forecasting volatility in gold prices. MRS-GARCH is the model best performance for the volatility in gold prices in several functions calculate the loss.

Kata Kunci : Forecasting; Volatility; Markov Regime-Switching