Eksis: Jurnal Riset Ekonomi dan Bisnis (Feb 2021)

Application of the GARCH Model in Forecasting the Volatility of Stock Returns in the Infrastructure, Utility, and Transportation Sector

  • Faizul Mubarok,
  • Eni Sutrieni

DOI
https://doi.org/10.26533/eksis.v15i2.646
Journal volume & issue
Vol. 15, no. 2
pp. 87 – 100

Abstract

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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.

Keywords