IDXNONCYC的高阶矩对股票收益的影响

Indonesian Financial Review Pub Date : 2022-09-04 DOI:10.55538/ifr.v2i1.11

I. Lubis, Syamruddin Syamruddin, Andi Sopandi

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引用次数: 0

摘要

本研究利用IDXNONCYC的高阶矩来预测PT Nippon Indosari Tbk的股票收益。使用的研究方法是时间序列。使用的数据是比率。使用的工具是GARCH(1,1)。结果表明，IDXNONCYC的协方差和协峰度滞后1对日本工业股份有限公司的股票收益具有显著的预测作用。然而，IDXNONCYC风险溢价滞后1不足，无法预测。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Higher Order Moment of IDXNONCYC on Stock Return PT Nippon Indosari Corpindo Tbk Predictability

This study predicts the stock return's of PT Nippon Indosari Tbk with higher order moment of IDXNONCYC. The research method used is time series. Data used are ratios. The tool used is GARCH (1,1). The results are the IDXNONCYC coskewness and cokurtosis lag 1 are significant predicting the stock return’s PT Nippon Indosari Corporindo Tbk. However, IDXNONCYC risk premium lag 1 short fall to predict .

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Indonesian Financial Review

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