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This study evaluates the impact of Covid-19 variables which has attracted huge attention from whole countries. The service companies listed in IDX are being the main issue while many are struggling amidst the economy slowdown due to pandemy. By comparing the time series regression (TSR) - GARCHX and ARMAX - GARCHX of stock return of 4 companies listed in service sub-sector since early March 2020, proposed GARCHX models are able to assess the volatility of stock return. As a proxy of the volatility, Value-at-Risk (VAR) is analyzed at 1% and 5% quantiles. It is found that ARMAX-GARCHX is more accurate than TSR-GARCHX in evaluating the volatility in lower risk, particularly that of medical service stock. Through ARMAX-GARCHX model, it is indicated that JCI return and lagged Covid-19 daily death cases have significant impact to the stock volatility, particularly that of transportation and medical service companies.

Evaluating the stock volatility of service companies in the rise of COVID-19 using ARMAX-GARCHX