PEMODELAN VOLATILITAS INDEKS SAHAM INFOBANK 15 PADA ERA PANDEMI COVID-19

  • Rosma Pakpahan Politeknik Negeri Bandung
  • Radia Purbayati Politeknik Negeri Bandung
  • Endang Hatma Juniwati Politeknik Negeri Bandung
  • Agil Krisna Rivanda Politeknik Negeri Bandung
DOI: https://doi.org/10.31955/mea.v6i3.2469

Abstract

Penelitian ini bertujuan untuk melakukan pemodelan volatilitas dan forecasting terbaik indeks saham perbankan akibat pandemi Covid-19 di Indonesia. Dasar pertimbangan penelitian ini adalah karena belum ada penelitian sebelumnya baik secara global maupun domestik yang berfokus pada volatilitas indeks saham sektor perbankan. Penelitian sebelumnya berfokus pada volatilitas saham pada pergerakan indeks saham gabungan atau indeks berdasarkan pergerakan saham yang memiliki kapitalisasi pasar terbesar dan tingkat likuiditas tertinggi. Penelitian dilakukan pada Indeks Infobank 15 di Indonesia. Pengamatan penelitian dimulai dari tanggal 02 Januari 2019 sampai dengan 29 Juli 2022 setiap hari sesuai dengan kegiatan pada hari kerja Bursa (Senin – Jumat). Penelitian dilakukan pada variabel Indeks Infobank 15 dengan menggunakan metode ARCH/GARCH mengingat metode tersebut merupakan forecasting data time series untuk persamaan tunggal. Hasil penelitian menunjukkan bahwa model volatilitas fit terjadi pada pemodelan ARCH (1,1) atau GARCH (1,1,0) yaitu ARCH AR (1) MA(1) pada data 1st Difference (D(INDEX)). Pemodelan peramalan dengan akurasi ideal hanya dapat dilakukan hingga 8 hari ke depan.

Author Biographies

Radia Purbayati, Politeknik Negeri Bandung

Radia Purbayati is the full-time lecturer in Accounting Department at Politeknik Negeri Bandung. Her major field focused on Banking & Finance, and Islamic Finance. She has been a lecturer on Banking & Finance, and Islamic Banking for 10 years. She took her Master Degree at Master of Business Administration from the School of Business and Management (SB) ITB (2007) and Bachelor Degree of Economic Development Studies at Institut Pertanian Bogor

Agil Krisna Rivanda, Politeknik Negeri Bandung

Agil Krisna Rivanda is the full-time staff in finance and accounting. His research interests are in Financial Accounting and Islamic Finance. He graduated with Associate in Finance from Politeknik Negeri Bandung and has also obtained a Bachelor of Accounting from Sekolah Tinggi Ilmu Ekonomi Ekuitas. He has worked in finance and accounting for 5 years.

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Published
2022-11-03
How to Cite
Pakpahan, R., Purbayati, R., Juniwati, E., & Rivanda, A. (2022). PEMODELAN VOLATILITAS INDEKS SAHAM INFOBANK 15 PADA ERA PANDEMI COVID-19. Jurnal Ilmiah Manajemen, Ekonomi, & Akuntansi (MEA), 6(3), 1124-1138. https://doi.org/10.31955/mea.v6i3.2469
Issue
Vol 6 No 3 (2022): Edisi September - Desember 2022
Section
Articles

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