Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia

Simple item page
dc.creatorSitungkir, Hokky
dc.creatorSurya, Yohanes
dc.date2004-03-18
dc.date.accessioned2026-07-07T12:06:55Z
dc.date.available2026-07-07T12:06:55Z
dc.descriptionThis paper is trying to unveil general statistical characteristic of financial; time series data that is subjected to several financial time series data present in Indonesia, e.g. individual index such as stock price of PT. TELKOM, stock price of PT HM SAMPOERNA, and compiled stock price index (Jakarta Stock Exchange Index). Characteristics that we try to analyze are volatility clustering, truncated Levy distribution, and multifractality feature. This analysis is directed for further works of research in making Indonesian artificial stock exchange that gives representation of micro structure of stock exchange in Indonesia. This paper is a resume of statistic behavior analyzed in top-down to become the ground in starting a more bottom-up analysis.
dc.description11 pages, 8 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0403465
dc.identifierhttp://arxiv.org/abs/cond-mat/0403465
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208796
dc.subjectOther Condensed Matter
dc.subjectStatistical Finance
dc.titleStylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia
dc.typetext

Files

Collections

arXiv