Modeling the returns volatility of Indonesian stock indices: The case of SRI-KEHATI and LQ45

The purpose of this research is to model the volatility Stock Indices in Indonesian capital market. This focuses on two stock indices namely SRI-KEHATI and LQ45. SRI_KEHATI a index that consists companies whose operations are sustainable environmentally friendly. also known as “green index” due its environment sustainability concern. novelty fills gap literature which not much regarding green index. As comparison, LQ45 was modeled. data used were daily returns both period extended from 2 January 2019 1 November 2021. employed four models i.e. ARCH (1), (2), GARCH (1,1) GJR-GARCH for returns. capture conditional variance return, while specifically chosen investigate whether there exists asymmetric effect return reacts more bad news than good news. Akaike Information Criterion (AIC) Schwarz (SIC) parameters choosing best models. Data analysis showed modeling able essential property present second (2). Apparently, affected by lagged residuals. limitation lies covered pre-pandemic post-pandemic period. market behavior might be very different between these periods. Future may endeavor how differs