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To Study the Volatility of Samsung’s Stock Price Using
Stochastic Time Series Models
Siti Nursyafikah Binti Roslan
Supervisor: Dr. Hanafi Bin A. Rahim
Bachelor of Science (Financial Mathematics)
School of Informatics and Applied Mathematics
Samsung is multinational company which its headquarters is located in Samsung town,
Seoul. The daily stock price data from 11 th May 2007 until 11 th February 2017 was applied
in this study, in order to track the daily return of Samsung’s stock price. Moreover, the
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.
892 | UMT UNDERGRADUATE RESEARCH DAY 2018