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: | https://repository.iainpare.ac.id/id/eprint/129 |
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