scholarly journals On macroeconomic determinants of co-movements among international stock markets: evidence from DCC-MIDAS approach

2021 ◽  
Vol 5 (1) ◽  
pp. 19-39
Author(s):  
Arifenur Güngör ◽  
◽  
Hüseyin Taştan
Keyword(s):  
Stock Markets ◽  
International Stock Markets ◽  
Macroeconomic Determinants

Pemodelan Data Time Series Garch(1,1) Untuk Pasar Saham Indonesia

2015 ◽  
Vol 11 (1) ◽  
pp. 13
Author(s):  
Elfa Rafulta ◽  
Roni Tri Putra
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Markets ◽  
Financial Data ◽  
International Stock Markets

This paper introduced a method pengklusteran for financial data. By using the model Heteroskidastity Generalized autoregressive conditional (GARCH), will be estimated distance between the stock market using GARCH-based distance. The purpose of this method is mengkluster international stock markets with different amounts of data.

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