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Application of the GARCH Model in Forecasting the Volatility of Stock Returns in the Infrastructure, Utility, and Transportation Sector

Eksis: Jurnal Riset Ekonomi dan Bisnis, 2021-02, Vol.15 (2), p.87-100 [Peer Reviewed Journal]

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Title:
Application of the GARCH Model in Forecasting the Volatility of Stock Returns in the Infrastructure, Utility, and Transportation Sector
Author: Faizul Mubarok ; Eni Sutrieni
Subjects: forecast ; garch ; infrastructure ; stock returns ; volatility
Is Part Of: Eksis: Jurnal Riset Ekonomi dan Bisnis, 2021-02, Vol.15 (2), p.87-100
Description: The stock market is continuously changing with uncertainties that can create risks. Prompt information dissemination and rapid capital flow will cause stock price fluctuations, causing volatility in stock prices. This research examines the behavior of volatility patterns in the infrastructure, utility, and transportation sectors using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model. This study uses monthly data from January 2014 to December 2019. The results show that the volatility of all stocks in the study is influenced by the previous month's error and volatility return. Investors and securities analysis can use these results in making decisions to invest in the infrastructure, utilities, and transportation sectors.
Publisher: STIE PGRI Dewantara Jombang
Language: Indonesian
Identifier: ISSN: 1907-7513
DOI: 10.26533/eksis.v15i2.646
Source: Open Access: DOAJ Directory of Open Access Journals

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