PERSAMAAN DIFERENSIAL ORNSTEIN-UHLENBECK DALAM PERAMALAN HARGA SAHAM
| Autor: | Amam Taufiq Hidayat, Subanar Subanar |
|---|---|
| Jazyk: | English<br />Indonesian |
| Rok vydání: | 2020 |
| Předmět: | |
| Zdroj: | Media Statistika, Vol 13, Iss 1, Pp 60-67 (2020) |
| Druh dokumentu: | article |
| ISSN: | 1979-3693 2477-0647 |
| DOI: | 10.14710/medstat.13.1.60-67 |
| Popis: | Geometric Brownian motion is one of the most widely used stock price model. One of the assumptions that is filled with stock return volatility is constant. Gamma Ornstein-Uhlenbeck process a model to describe volatility in finance. Additionally, Gamma Ornstein-Uhlenbeck process driven by Background Driving Levy Process (BDLP) compound Poisson process and the marginal law of volatility follows a Gamma distribution. Barndorff-Nielsen and Shepard (BNS) Gamma Ornstein-Uhlenbeck model can to sample the process for the stock price with volatility follows Gamma Ornstein-Uhlenbeck process. Based on these, the simulation result are compared BNS Gamma Ornstein-Uhlenbeck model with geometric Brown motion for Standard and Poor (SP) 500 stock data. Simulation result give BNS Gamma Ornstein-Uhlenbeck model and Geometric Brownian motion a Root Mean Square Error (RMSE) are 0,13 and 0,24 respectively. These result indicate that the BNS Gamma Ornstein-Uhlenbeck model gives a more accurate than Geometric Brownian motion |
| Databáze: | Directory of Open Access Journals |
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