Repository Karya Ilmiah Universitas Trisakti

DETAIL KOLEKSI
S.4_Garch-M Model and the Behavior of Risk-Return Relationship in Indonesia Stock Market

Abstract: This study examines the risk-return trade-off and volatility behaviour in Indonesia stock market. As the analytical tool this study uses GARCH-M model with symmetric GARCH(1,1). To obtain more reliable results, this study takes daily and weekly stock index as well as 5 individual stock returns from January 2004 to November 2020 as a sample.


IMG

Oleh :
Masfar Gazali