GARCH Model For Forecasting Stock Return Volatility In The Infrastructure , Utilities And Transportation Sectors

  • Faizul Mubarok Universitas Islam Negeri Syarif Hidayatullah Jakarta
  • Eni Sutrieni Universitas Islam Negeri Syarif Hidayatullah Jakarta
Abstract views: 564 , PDF downloads: 952
Keywords: Volatility, Stock Returns, GARCH, Forecast, Infrastructure

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.

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Published
2021-02-09
How to Cite
Mubarok, F., & Sutrieni, E. (2021). GARCH Model For Forecasting Stock Return Volatility In The Infrastructure , Utilities And Transportation Sectors. Eksis: Jurnal Riset Ekonomi Dan Bisnis, 15(2), 87-100. https://doi.org/10.26533/eksis.v15i2.646
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