PEMODELAN VOLATILITAS INDEKS SAHAM INFOBANK 15 PADA ERA PANDEMI COVID-19

نویسندگان

چکیده

Penelitian ini bertujuan untuk melakukan pemodelan volatilitas dan forecasting terbaik indeks saham perbankan akibat pandemi Covid-19 di Indonesia. Dasar pertimbangan penelitian adalah karena belum ada sebelumnya baik secara global maupun domestik yang berfokus pada sektor perbankan. pergerakan gabungan atau berdasarkan memiliki kapitalisasi pasar terbesar tingkat likuiditas tertinggi. dilakukan Indeks Infobank 15 Pengamatan dimulai dari tanggal 02 Januari 2019 sampai dengan 29 Juli 2022 setiap hari sesuai kegiatan kerja Bursa (Senin – Jumat). variabel menggunakan metode ARCH/GARCH mengingat tersebut merupakan data time series persamaan tunggal. Hasil menunjukkan bahwa model fit terjadi ARCH (1,1) GARCH (1,1,0) yaitu AR (1) MA(1) 1st Difference (D(INDEX)). Pemodelan peramalan akurasi ideal hanya dapat hingga 8 ke depan.

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ژورنال

عنوان ژورنال: Jurnal ilmiah Manajemen, Ekonomi, dan Akuntansi

سال: 2022

ISSN: ['2621-5306', '2541-5255']

DOI: https://doi.org/10.31955/mea.v6i3.2469