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Modelling Indonesian stock indices using variance gamma
In this paper we discuss a class of Levy process
which is called variance gamma (VG) to model the
dynamics of Indonesian Stock Indices. There are some
stock indices listed in Indonesia Stock Exchange (ISE), but
in this paper we choose two of them, Jakarta Composit
Index (JCI) and Jakarta Islamic Index (JII). JCI compose
of all stocks traded in ISE and an important indicator for
the stock price dynamics in the ISE. JII, on the other hand
only consist of 30 stocks based on syariah in order to
develop the syariah stock market in Indonesia. It is well
known that the dynamics of stock indices can be modelled
using stochastic models such as a well known Geometric
Brownian Motion (GBM). In this paper we will use VG
model to describe the dynamics of those two indices and
compare the performance of the model with a GBM
model. We found that the VG model gives a better
performance than GBM model based on some criteria in
modelling the dynamics of the JCI and JII Index
Barcode | Tipe Koleksi | Nomor Panggil | Lokasi | Status | |
---|---|---|---|---|---|
maklhsc185 | DIG - FTIS | Makalah | Perpustakaan | Tersedia namun tidak untuk dipinjamkan - No Loan |
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