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AUTHOR(S): Rr Erlina, Ayi Ahadiat, Rialdi Azhar, Fajrin Satria Dwi Kesumah
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TITLE Indonesian Stock Market Risk Analysis: Implementation of the GARCH Model on the JKSE Index |
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ABSTRACT This study aims to analyze stock market risk in Indonesia using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model on the Composite Stock Price Index (JKSE). The GARCH model is used to estimate stock market volatility, which is an important indicator in market risk assessment. The JKSE daily data used in this research covers a certain period and is analyzed to identify volatility patterns and potential risks that can influence investment decisions. The findings show that the GARCH model can effectively capture the dynamics of volatility in the Indonesian stock market, providing deeper insight into the level of risk faced by investors. These findings have important implications for portfolio management and risk mitigation strategies in the Indonesian stock market. |
KEYWORDS Indonesian Composite Index, GARCH Model, Volatility Risk, Investment Decisions |
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Cite this paper Rr Erlina, Ayi Ahadiat, Rialdi Azhar, Fajrin Satria Dwi Kesumah. (2025) Indonesian Stock Market Risk Analysis: Implementation of the GARCH Model on the JKSE Index. International Journal of Economics and Management Systems, 10, 27-34 |
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