BibTex Citation Data :
@article{Medstat27941, author = {Amam Hidayat and Subanar Subanar}, title = {PERSAMAAN DIFERENSIAL ORNSTEIN-UHLENBECK DALAM PERAMALAN HARGA SAHAM}, journal = {MEDIA STATISTIKA}, volume = {13}, number = {1}, year = {2020}, keywords = {Levy Process; Ornstein-Uhlenbeck process; BNS Gamma Ornstein Uhlenbeck Model}, abstract = {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}, issn = {2477-0647}, pages = {60--67} doi = {10.14710/medstat.13.1.60-67}, url = {https://ejournal.undip.ac.id/index.php/media_statistika/article/view/27941} }
Refworks Citation Data :
Note: This article has supplementary file(s).
Article Metrics:
Last update:
Last update: 2024-11-03 02:23:03
The Authors submitting a manuscript do so on the understanding that if accepted for publication, copyright of the article shall be assigned to Media Statistika journal and Department of Statistics, Universitas Diponegoro as the publisher of the journal. Copyright encompasses the rights to reproduce and deliver the article in all form and media, including reprints, photographs, microfilms, and any other similar reproductions, as well as translations.
Media Statistika journal and Department of Statistics, Universitas Diponegoro and the Editors make every effort to ensure that no wrong or misleading data, opinions or statements be published in the journal. In any way, the contents of the articles and advertisements published in Media Statistika journal are the sole and exclusive responsibility of their respective authors and advertisers.
The Copyright Transfer Form can be downloaded here: [Copyright Transfer Form Media Statistika]. The copyright form should be signed originally and send to the Editorial Office in the form of original mail, scanned document or fax :
Dr. Di Asih I Maruddani (Editor-in-Chief) Editorial Office of Media StatistikaDepartment of Statistics, Universitas DiponegoroJl. Prof. Soedarto, Kampus Undip Tembalang, Semarang, Central Java, Indonesia 50275Telp./Fax: +62-24-7474754Email: maruddani@live.undip.ac.id
Media Statistika
Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro
Gedung F Lantai 3, Jalan Prof Jacub Rais, Kampus Tembalang
Semarang 50275
Indexing: