Forecasting Volatility Stock Price using ARCH/GARCH Method: Evidence from the Indonesia Stock Exchanges. Lia Puspa Anggita (a), Nugraha (b), Ikaputera Waspada (b)
UPI
Abstract
This study aims to predict stock price volatility using ARCH / GARCH model in Indonesia. The research method used is quantitative method on Indonesia stock price index for period 2011-2017. The analysis technique used ARCH / GARCH model with data processing using Eviews 9 software. The results show the best volatility model in predicting stock price is EGARCH model and this model is more accurate in the modeling of volatility model in Indonesia since 1998 until now.
Keywords: Forecasting, Volatility, Stock Price, ARCH Model, GARCH Family Model.
