Dharma, Fitra (2022) Similarity Report Forecasting Model for State-Owned Bank Stock Prices During Pandemic: GARCH Model Application. European Union Digital Library, Proceedings of the 4th International Conference of Economics, Business, and Entrepreneurship, ICEBE 2021, 7 October 2021, Lampung, Indonesia.
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Abstract
Since Covid-19 was announced as pandemic by Indonesian authorities, it had many negative effects, more particularly on banking sector. The aim of this study is to measure the impacts of Covid-19 on Bank Negara Indonesia stock prices and to find the best-fit model to forecast its daily stock prices for the next 30 days. The application of Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model was applied to measure the residual of mean and variance. The finding is to apply AR(1)-GARCH(1,1) model to forecast the future stock prices as the R-square of the model is more than 98%, indicating more accuracy. The forecast shows gradual increase of stock prices indicating that economic growth tends to come out from recession gradually
| Item Type: | Other |
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| Subjects: | H Social Sciences > HC Economic History and Conditions H Social Sciences > HJ Public Finance |
| Divisions: | Fakultas Ekonomi dan Bisnis (FEB) > Prodi Akuntansi |
| Depositing User: | DR Fitra dharma |
| Date Deposited: | 06 Feb 2023 09:34 |
| Last Modified: | 06 Feb 2023 09:34 |
| URI: | http://repository.lppm.unila.ac.id/id/eprint/48303 |
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