Modeling and Forecasting Closing Prices of some Coal Mining Companies in Indonesia by Using the VAR(3)-BEKK GARCH(1,1) Model

Abstract

Today, coal is the main source of energy in both developed and developing countries. The use of coal fuel for power generation and industry continues to increase. This research will discuss the closing price relationship model for the share prices of two coal companies in Indonesia, namely ABM and IND_E, from January 2018 to July 2023. The modeling used is a multivariate time series approach. From the results of the data analysis, the best model that fits the data is the VAR(3)-BEKK GARCH(1,1). Based on this best model, further analysis of Granger causality, impulse response function (IRF), and forecasting for the next 30 periods as well as the proportion of prediction error covariance are discussed.

Keywords

• Vector Autoregressive, BEKK GARCH Model, Forecasting, Granger Causality, Proportion Prediction Error Covariance