Estimasi Peramalan Volatilitas Return Saham Perusahaan Sektor Energi Pada Indeks Saham Syariah Indonesia (ISSI)

Danisya Kayla Putri Mayari; Cupian Cupian; Sarah Annisa Noven

doi:10.61132/jiesa.v2i1.826

Authors

Danisya Kayla Putri Mayari Universitas Padjadjaran
Cupian Cupian Universitas Padjadjaran
Sarah Annisa Noven Universitas Padjadjaran

DOI:

https://doi.org/10.61132/jiesa.v2i1.826

Keywords:

Indonesia Sharia Stock Index, Forecasting, Stock Return, Volatility

Abstract

This study aims to determine the forecasting of stock return volatility of energy companies listed on the Indonesian Sharia Stock Index (ISSI) using the ARCH/GARCH method. This study uses purposive sampling method and uses secondary data in the form of daily stock returns from January 2022 to June 2024 on 10 selected stocks. Data processing is done using Stata software. The results showed that of the 10 selected stocks, only 6 stocks, namely BYAN, ADRO, GEMS, PTBA, AKRA, and BSSR, were suitable for analysis using the ARCH/GARCH model. Meanwhile, PGAS, ITMG, PTRO, and HRUM do not show ARCH effect or do not contain heteroscedasticity. Statistical evaluation of volatility prediction shows that the selected models provide good predictions. Among the six stocks analyzed, ADRO, PTBA, and BSSR show high volatility, while BYAN, GEMS, and AKRA show low volatility. Therefore, investors should consider investment risk when evaluating stocks with different levels of volatility.

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