EconBank : Journal Economics and Banking
Vol 2 No 1 (2020): Edisi April

ANALISIS VOLATILITAS DAN FORECAST SAHAM PT ANTAM (PERSERO) Tbk. DAN PT ADARO ENERGY Tbk. DENGAN GARCH, EGARCH DAN GJR

Maulana, Yasir (Unknown)

Article Info

Publish Date
26 Apr 2020

Abstract

An extraordinary event that causes shock can affect volatility which causes asymmetric variance and error or commonly called asimetric shock / effect. This paper aims to analyze the volatility of stock returns of PT ANTAM (Persero) Tbk and PT Adaro Energy Tbk in the period of 2008 to 2016. The research results show that ANTM and ADRO have a GARCH effect and also have a leverage effect where the optimal model is found in the GJR model (0,1,1) for ANTM and GJR (1,1,1) for ADRO. Forecasting results shows that ADRO has higher volatility but in a relatively low percentage of volatility about 0.001 while ANTM have a tendency to decrease volatility with a fairly large percentage of volatility about 0.0025.

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Journal Info
EconBank : Journal Economics and Banking
Website

Abbrev

econbank

Publisher

Sekolah Tinggi Ilmu Ekonomi Bank BPD Jateng

Subject

Economics, Econometrics & Finance Social Sciences

Description

Econbank is a Journal of Economics and Banking published by the School of Economics and Business (STIE) of Bank BPD Jateng as a place for publishing research results and concepts in the fields of Economics and Banking. Ecobank focuses on research articles or papers relevant to the economic, ...