COMPLETE PPIMG

Lagrange Multiplier Test was employed as to examine the ARCH effect in the Samsung’s
stock price data and it shows that there is existence of ARCH effect in the return data
series. Moreover, GARCH (1,1) model and TGARCH (1,1) model were applied in this study.
From the comparison of the AIC and SBC, it shows that TGARCH (1,1) yield the smallest
error compare to GARCH (1,1). Therefore, it can be conclude that TGARCH (1,1) is the
best model for forecasting the volatility the Samsung’s stock price.
Choquet Integral and Frank Bonferroni Mean Operators Based on
Fuzzy Set and their Applications in Building Sustainability
Sitinur Batrisyia Binti Mohamad Jamil
Supervisor: Prof. Dr. Mohd. Lazim Bin Abdullah
Bachelor of Science (Financial Mathematics)
School of Informatics and Applied Mathematics
234 | UMT UNDERGRADUATE RESEARCH DAY