Jurnal International Copula

Darwis, Darwis Jurnal International Copula. Indonesia Stock Exchange Composite Modelling With Gaussian Copula Marginal Regression, 6 (311-31). ISSN 2250-0758

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Abstract

This study discussed the modelling of Indonesia
Stock Exchange Composite Index (ICI) in Indonesia Stock
Exchange (IDX) with Gaussian Copula Marginal Regression
(GCMR). In this study, secondary data, which was monthly
data from 2010 to 2015 was used. Estimator of Copula
parameters was to identify the relationship between ICI with macroeconomic factors. To estimate the parameters of
Copula, Kendall’s Tau approach was used. Another thing
that was studied in this research was to determine the model predictions of GCMR on Gaussian Copula. The structure of dependencies between ICI and its macroeconomic factors largely followed Copula family. In addition, the predicted results with the ICI line plot approached the real data from actual data with the estimator data using GCMR models.

Item Type: Journal Article
Subjects: 01 MATHEMATICAL SCIENCES > 0104 Statistics > 010401 Applied Statistics
Divisions: Fakultas Ushuluddin Adab dan Dakwah > Program Studi Bimbingan Konseling Islam
Depositing User: Darwis Darwis
Date Deposited: 30 Dec 2017 04:42
Last Modified: 24 Sep 2019 00:22
URI: http://repository.iainpare.ac.id/id/eprint/129

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