PENGKLUSTERAN DATA TIME SERIES KEUANGAN DENGAN MODEL GARCH (1,1) PADA PASAR SAHAM INTERNASIONAL

Abstrak

<p>paper introduced a method clustering 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.</p><p> </p><span>Keywords: GARCH, Cluster Analisis, Intenational Stock Markets</span>