Proceedings of the 4th International Conference of Economics, Business, and Entrepreneurship, ICEBE 2021, 7 October 2021, Lampung, Indonesia

Research Article

Forecasting Model for State-Owned Bank Stock Prices During Pandemic: GARCH Model Application

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  • @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
Ayi Ahadiat1,*, Fitra Dharma2, Fajrin Satria Dwi Kesumah1
  • 1: Department of Management, Faculty of Economics and Business, Universitas Lampung, Lampung, Indonesia
  • 2: Department of Accounting, Faculty of Economics and Business, Universitas Lampung, Lampung, Indonesia
*Contact email: ayi.ahadiat@feb.unila.ac.id

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.