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Proceedings of the Universitas Lampung International Conference on Social Sciences (ULICoSS 2021)

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Implementation of Forecasting Hedging Model During the Covid-19 Pandemic with the Event Windows Approach to Asean Stock Prices 6

Authors
Supriyantosupriyanto.1989@fisip.unila.ac.id
Business Administration, Lampung University, Lampung, Indonesia
Putri Irmala Sariputri.irmalasari@gmail.com
Business Administration, Lampung University, Lampung, Indonesia
Maulana Agung Pratamamaulana.agung@fisip.unila.ac.id
Business Administration, Lampung University, Lampung, Indonesia
Corresponding Author
Available Online 6 January 2022.
DOI
https://doi.org/10.2991/assehr.k.220102.010How to use a DOI?
Keywords
Hedging; Stock Price; Heteroscedasticity; GARCH Model; Event Window
Abstract

This study was conducted to analyze the stock exchanges of ASEAN 6 (Indonesia, the Philippines, Malaysia, Singapore, Vietnam, and Thailand) related to the dynamics of daily stock prices including the decline during the Covid-19 Pandemic. This data is described as a time series comprised of daily inventory expenditures, varied heteroscedasticity, and the ASEAN stock dummy hedging variable. The GARCH mannequin is one of the excellent styles used to address the issue of heteroscedasticity (generalized autoregressive conditional heteroscedasticity). As a result, this study seeks to develop the best appropriate model for forecasting 400 days before and 297 days following the Covid-19 epidemic, as well as to offer advice for mitigating the impact of daily stock price swings. The data was previously gathered by analyzing the daily rates of ASEAN 6 world stocks from January 1, 2019, to May 17, 2021. Additionally, the article examines the Event Window, with the ideal model denoted as AR (1) - GARCH (1, 3). The results confirmed that the model with an error of less than 0.0073 is AR (1) - GARCH (1,3), which is an excellent model for forecasting daily inventory costs in ASEAN 6.

Copyright
© 2022 The Authors. Published by Atlantis Press SARL.
Open Access
This is an open access article under the CC BY-NC license.

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Volume Title
Proceedings of the Universitas Lampung International Conference on Social Sciences (ULICoSS 2021)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
6 January 2022
ISBN
978-94-6239-509-1
ISSN
2352-5398
DOI
https://doi.org/10.2991/assehr.k.220102.010How to use a DOI?
Copyright
© 2022 The Authors. Published by Atlantis Press SARL.
Open Access
This is an open access article under the CC BY-NC license.

Cite this article

risenwbib
TY  - CONF
AU  - Supriyanto
AU  - Putri Irmala Sari
AU  - Maulana Agung Pratama
PY  - 2022
DA  - 2022/01/06
TI  - Implementation of Forecasting Hedging Model During the Covid-19 Pandemic with the Event Windows Approach to Asean Stock Prices 6
BT  - Proceedings of the Universitas Lampung International Conference on Social Sciences (ULICoSS 2021)
PB  - Atlantis Press
SP  - 74
EP  - 84
SN  - 2352-5398
UR  - https://doi.org/10.2991/assehr.k.220102.010
DO  - https://doi.org/10.2991/assehr.k.220102.010
ID  - 2022
ER  -