PREDICTIVE VOLATILITY MODELS OF JKSE AND FIVE STOCK RETURNS IN DEVELOPED COUNTRIES

PREDICTIVE VOLATILITY MODELS OF JKSE AND FIVE STOCK RETURNS IN DEVELOPED COUNTRIES

Volatility, ARCH/GARCH/EGARCH, stock price index, stock returns

This study aims to determine alternative predictive volatility models for the JKSE and five developed country stock price index (Singapore's FTSE, China's SSEC, Japan's Nikkei 225, UK's FTSE, and America's Dow Jones) during a time of slowing world economy (January 2021 – September 2022). The method used to measure the volatility of the stock price index is ARCH (q), GARCH (p,q) and EGARCH (p,q). The results show that JKSE has lower volatility than five other developed countries with a stock price index that tends to increase. The stock price index for the five developed countries have high volatility and tend to decrease for China and Japan, while the stock price index for Singapore, UK and America tend to increase. An alternative predictive volatility model for JKSE stock returns is GARCH (1.1), Singapore's FTSE is ARCH (1), China's SSEC is ARCH (1), Japan's Nikkei 225 is GARCH (1.2) while the UK's FTSE100 and America's Dow Jones are EGARCH (1,1). These results indicate that FTSE and Dow Jones stock returns have a leverage effect where good news causes less volatility than bad news. When there is volatility in stock returns, especially FTSE100 and Dow Jones, business risk increases.

Sri Nawatmi1, Agus Budi Santosa2, Ali Maskur3, Bambang Sudiyatno4

https://jurnal.stie-aas.ac.id/index.php/IJEBAR

2023

peri irawan

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