Volatility and Stock Risk Analysis Using ARCH-GARCH Method
Keywords:
Volatility, Stock Price Risk, ARCH-GARCH, Construction Company, alue at Risk (VaR), Capital City of the Archipelago (IKN)Abstract
This study analyzes the volatility and risk of stock prices of three infrastructure construction companies in Indonesia: ADHI.JK, PTPP.JK, and WIKA.JK over 2023. Data from Yahoo Finance is used, covering 230 data points for each company. The method used is the ARCH-GARCH model to model stock price volatility and measure the associated risk. The results show that all three companies exhibit significant volatility patterns with GARCH(1,1) models. PTPP.JK has the highest volatility, indicating the highest risk, while ADHI.JK has the lowest volatility and risk. The volatility graph shows the sensitivity of the three stocks to the development event in the Capital City of the Archipelago (IKN). Value at Risk (VaR) calculation shows that WIKA.JK has the highest risk, while ADHI.JK has the lowest risk. This research provides insight into the dynamics of the stock market in the infrastructure construction sector, as well as its implications for risk management and investment decision making.
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