WHICH IS BETTER: HOMOSKEDASTIS OR HETEROSKEDASTIS VOLATILITY MODEL FOR OPTION PRICING? (Test Of Black-Scholes Option Model And Garch Option Model At The Indonesian Stock Exchange)

Haruman, Tendi; Hendrawan, Riko; Sumachdar, Endang

WHICH IS BETTER: HOMOSKEDASTIS OR HETEROSKEDASTIS VOLATILITY MODEL FOR OPTION PRICING? (Test Of Black-Scholes Option Model And Garch Option Model At The Indonesian Stock Exchange)

dc.contributor.author	Haruman, Tendi
dc.contributor.author	Hendrawan, Riko
dc.contributor.author	Sumachdar, Endang
dc.date.accessioned	2011-03-22T06:59:08Z
dc.date.accessioned	2019-10-21T11:53:54Z
dc.date.available	2011-03-22T06:59:08Z
dc.date.available	2019-10-21T11:53:54Z
dc.date.issued	2009
dc.description.abstract	The purpose of this research is to compare the accuracy of Black-Scholes Option Model and GARCH option models for Stock option utilizing data from Astra, BCA, Indofood and Telkom at the Indonesian Stock Exchange. The intraday stock return of Astra, BCA, Indofood and Telkom exhibits an overwhelming presence of volatility clustering; suggesting that GARCH model has an effect which best corresponds with the actual price. The best model is constructed using ARIMA model and the best lag in GARCH model is extracted. The finding from this research show that by comparing the average percentage mean squared errors of the GARCH Option Model and the Black-Scholes Option Model, the former was found more accurate than the latter. GARCH Model relatively improves average percentage mean squared errors of Black-Scholes Model ; one month option shows a twenty eight point ten percent improvement, two month option shows twenty three point thirty percent and three month option shows twenty percent.	en_US
dc.identifier.uri	http://repository.widyatama.ac.id/handle/123456789/1325
dc.language.iso	other	en_US
dc.publisher	Universiti Malaysia Pahang	en_US
dc.relation.ispartofseries	;KII CD 014
dc.subject	ARIMA	en_US
dc.subject	Black-Scholes Option Pricing Model	en_US
dc.subject	GARCH Option Model	en_US
dc.subject	Indonesian Stock Exchange	en_US
dc.title	WHICH IS BETTER: HOMOSKEDASTIS OR HETEROSKEDASTIS VOLATILITY MODEL FOR OPTION PRICING? (Test Of Black-Scholes Option Model And Garch Option Model At The Indonesian Stock Exchange)	en_US
dc.title.alternative	The 8th Asian Academy of Management International Conference	en_US
dc.type	Other	en_US