ESTIMASI PARAMETER PADA STANDAR CAPM DENGAN METODE GMM

Abstract

The main purpose of the regression analysis is to estimate the unknown parameters in model. Method of moments, least squares, and maximum likelihood are the methods frequently used to predict the parameters. However, the violation assumptions of a linear model such as heteroscedasticity and autocorrelation in the data encourage the development of that three methods. GMM (Generalized Method of Moments) is one of the popular estimation method in finance. This method only depends on the use of the moment conditions. GMM is defined as the estimation method which minimize the integrated quadratic form of moment conditions using weight matrix. This research aims to estimate the parameters using GMM method and applied in modern finance theory, CAPM (Capital Assets Pricing Model) standard. Application of GMM method performed at 8 companies in the mining sector in Indonesia. The estimator result is the systematic risk of each company that is on the SML (Security Market Line) in order to obtain the companies that can implement the CAPM standard.