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All Journal Jurnal Reviu Akuntansi dan Keuangan Signifikan : Jurnal Ilmu Ekonomi Islamadina : Jurnal Pemikiran Islam Jurnal Keuangan dan Perbankan Jurnal Dinamika Akuntansi MUQTASID Journal of Economics, Business, & Accountancy Ventura EQUILIBRIUM IQTISHADIA Jurnal Penelitian Ekonomi dan Bisnis Jurnal Manajemen Teori dan Terapan Jurnal Ekonomi dan Bisnis Islam Jurnal Riset Akuntansi Terpadu Jurnal Ilmiah Ekonomi Islam Jurnal Organisasi Dan Manajemen SENTRALISASI Muqtasid: Jurnal Ekonomi dan Perbankan Syariah Jesya (Jurnal Ekonomi dan Ekonomi Syariah) Shirkah: Journal of Economics and Business JURISMA: Jurnal Riset Bisnis & Manajemen JIKA: Jurnal Ilmu Keuangan dan Perbankan Journal of Innovation in Business and Economics Eksis: Jurnal Riset Ekonomi dan Bisnis Majalah Ilmiah Bijak Journal of Islamic Accounting and Finance Research Jurnal Buana Akuntansi Iqtishadia: Jurnal Kajian Ekonomi dan Bisnis Islam Jurnal Ekonomi, Bisnis & Entrepreneurship (e-Journal) Al-Tijary : Jurnal Ekonomi dan Bisnis Islam Riwayat: Educational Journal of History and Humanities Al-Kharaj: Jurnal Ekonomi, Keuangan & Bisnis Syariah Jurnal Ilmiah Akuntansi dan Keuangan
Faizul Mubarok
Universitas Terbuka
Religion Agriculture, Biological Sciences & Forestry Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Industrial & Manufacturing Engineering Social Sciences Other

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Journal : Eksis: Jurnal Riset Ekonomi dan Bisnis

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GARCH Model For Forecasting Stock Return Volatility In The Infrastructure , Utilities And Transportation Sectors Faizul Mubarok; Eni Sutrieni
Eksis: Jurnal Riset Ekonomi dan Bisnis Vol. 15 No. 2 (2020)
Publisher : STIE PGRI Dewantara Jombang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26533/eksis.v15i2.646

Abstract

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.
Co-Authors Abdul Hamid Arie Wibowo Khurniawan Arief Mufraini, Arief Asir Filard Benbadri Bisma, Muhammad Faturrahman Aria Deby Ulfarini Deni Nugraha Diky Paramitha Eni Sutrieni Erlin Erlin Etik Ipda Riyani Etty Fatimah Farhan Putra Pramudya Fauzan Falah Henanda Hamid, Abdul Hermanto Siregar Husen, Ulfiya Indo Yama Nasarudin, Indo Yama Iqbal Kurniawan* Irmawaty Martino Wibowo Mohammad Masykur Fadhli Mohammad Nur Rianto Al Arif Muhammad Arief Mufraini Muhammad Faturrahman Aria Bisma Muhammad Ridho Syakhran Siregar Muhammad Ziyad Izzuddin Nunung Nuryartono Rusdianto Rusdianto Rusdianto Sippavitch Wongsuwatt SULTAN, ZULKIFLI Tiena Suhartini Utami, Risma Nadya Wati, Lela Nurlaela Yudhi Prasetiyo