Research Article
Forecasting Model for State-Owned Bank Stock Prices During Pandemic: GARCH Model Application
@INPROCEEDINGS{10.4108/eai.7-10-2021.2316223, author={Ayi Ahadiat and Fitra Dharma and Fajrin Satria Dwi Kesumah}, title={Forecasting Model for State-Owned Bank Stock Prices During Pandemic: GARCH Model Application}, proceedings={Proceedings of the 4th International Conference of Economics, Business, and Entrepreneurship, ICEBE 2021, 7 October 2021, Lampung, Indonesia}, publisher={EAI}, proceedings_a={ICEBE}, year={2022}, month={4}, keywords={covid-19 pandemic banking sector garch model forecasting}, doi={10.4108/eai.7-10-2021.2316223} }- Ayi Ahadiat
Fitra Dharma
Fajrin Satria Dwi Kesumah
Year: 2022
Forecasting Model for State-Owned Bank Stock Prices During Pandemic: GARCH Model Application
ICEBE
EAI
DOI: 10.4108/eai.7-10-2021.2316223
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.
