Open AccessVOLATILITAS HARGA SAHAM DI INDONESIA DAN MALAYSIA
Author(s) -
Andi Kartika
Publication year - 2016
Publication title -
economica
Language(s) - English
Resource type - Journals
eISSN - 2541-4666
pISSN - 2085-9325
DOI - 10.21580/economica.2010.1.2.846
Subject(s) - volatility (finance) , economics , autoregressive conditional heteroskedasticity , stock market , financial economics , monetary economics , stock market index , stock (firearms) , paleontology , horse , biology , mechanical engineering , engineering
Disintermediatior phenomena in financial market show that many people tend to invest in capital market more than in banking. That’s happened, because of the return on stock is profitable than banking interest rate. But, there is a big risk in capital market. It’s natural, financial market say that high risk high return, low risk low return. So, if we do not want to loss, we must have ability to analyse stock performance, pecially volatility of stock. This research use to ARCH/GARCH Model to estimation of volatility. The research show that stock growth in 2007 – 2009 tend to decrease for all index (JSX and KLCI). JSX and KLCI just have ARCH effect, so the index influence volatility this time price index. The research show too, that á value e” 0,7 and sum of á and â almost one for all index (JSX and KLCI). That are means, the volatility shock are persistent or the volatility are high and persistent.