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Modeling and Forecasting Stock Return Volatility of The Jakarta Islamic Index:GARCH vs. EGARCH Model
"Objective: This study aims to find the best modeling to forecasting the volatility of
some stock that listed in Jakarta Islamic Index.
Method: This research using the symmetric Generalized Autoregressive
Conditional Heteroskedasticity (GARCH) model and asymmetric model which is
Exponential GARCH to capture asymmetric effect if any. This study uses daily data
from 1 May 2018 until 31 May 2023. The sample of this study are six stock listed
in Jakarta Islamic Index during observation period, there are ADRO, ICBP, KLBF,
TLKM, UNTR, and UNVR
Results: The result of this study that the symmetric GARCH model is already
specified to examine the behavior of volatility pattern in these six stock. In addition,
forecasting result beneficial for an investor. For the investor who are risk taker can
add TLKM and KLBF in the portfolio. Meanwhile for investor who only want to
invest in low level of risk can choose UNTR"
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