IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Forecasting Stocks of Government Owned Companies (GOCS):Volatility Modeling

  • Erie Febrian

    ()

    (Finance & Risk Management Study Group (FRMSG) FE UNPAD)

  • Aldrin Herwany

    ()

    (Research Division, Laboratory of Management FE UNPAD)

Registered author(s):

    The development in forecasting techniques has been quite significant, which is indicated by the evolution on how researchers perceive characteristics of financial data. The researchers used to employ mean in their prediction model, but nowadays they tend to employ variance in developing the model. In addition, they also move from the static approaches (e.g., Autoregreesive (AR), Moving Average (MA), ARMA and ARIMA) to the dynamic ones (especially estimation model employing volatility change that just won Nobel prize in 2004). In this research, we try to develop the best prediction model by using volatility model, such as ARCH, GARCH, TARCH and EGARCH, and employing listed stocks of government-owned companies (GOCs) as the sample. The result proves that the employed volatility model and its derivatives are fairly accurate in predicting fluctuation of GOCs stock prices, which are reflected by the associated returns. In addition, the resulted model is capable to measure risk of the observed stock, as well as appropriate price of an asset.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://lp3e.fe.unpad.ac.id/wopeds/200908.pdf
    File Function: First version, 2009
    Download Restriction: no

    Paper provided by Department of Economics, Padjadjaran University in its series Working Papers in Economics and Development Studies (WoPEDS) with number 200908.

    as
    in new window

    Length: 17 pages
    Date of creation: Sep 2009
    Date of revision: Sep 2009
    Handle: RePEc:unp:wpaper:200908
    Contact details of provider: Postal: Jalan Cimandiri No.6, Bandung 40115
    Phone: (062)022-4204510
    Fax: (062)022-4204510
    Web page: http://ceds.fe.unpad.ac.id
    Email:


    More information through EDIRC

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as in new window
    1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
    2. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    3. Aggarwal, Reena & Inclan, Carla & Leal, Ricardo, 1999. "Volatility in Emerging Stock Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 33-55, March.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:unp:wpaper:200908. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Arief Anshory Yusuf)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.