ARCH and GARCH Models on the Indonesian Sharia Stock Index

Budiandru, Budiandru

doi:10.35836/jakis.v9i1.214

Cited by 2 publications

(1 citation statement)

References 30 publications

(36 reference statements)

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“…Dari penelitian tersebut diperoleh kesimpulan bahwa harga saham EXR dan ANTM diperkirakan sama memiliki pergerakan yang stabil sedangkan JII diperkirakan akan meningkat signifikan selama enam bulan ke depan. Lain halnya dengan Budiandru (2021) yang menguji pengaruh risiko dan volatilitas pengembalian terhadap volatilitas Indeks Saham Syariah Indonesia dengan Autoregressive Conditionally Heteroscedasticity-Generalized Autoregressive Conditional Heteroskedasticity (ARCH-GARCH). Penelitian-penelitian tersebut hanya membatasi penggunaan VAR dan ARCH-GARCH dalam meramalkan harga dan volatilitas saham padahal salah satu syarat peramalan yang baik adalah peramalan dengan metode atau teknik yang sesuai dengan pola datanya (Wang et al, 2009).…”

Section: Pendahuluanunclassified

Penentuan Saham Syariah Terbaik melalui Pendekatan Peramalan

Nisa

2022

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Berinvestasi syariah sudah menjadi tren masyarakat Indonesia pada saat ini. Beberapa kelebihan yang menjadi alasan banyak yang berinvestasi syariah termasuk saham syariah, yaitu sesuai prinsip-prinsip Islam dan indeks saham syariah di Indonesia melesat naik saat pandemi di saat negara lain mengalami penurunan. Keuntungan merupakan tujuan utama dari investasi. Namun ternyata masih banyak masyarakat yang mengalami kebingungan dalam memilih saham syariah berpotensial menguntungkan. Penelitian ini bertujuan untuk memperoleh saham syariah yang memberikan harga saham yang tinggi dan meramalkan harga saham syariah dengan metode peramalan. Berdasarkan analisis yang telah dilakukan bahwa data harga saham syariah yang digunakan tidak mempunyai faktor musiman dan merupakan data time series jangka waktu pendek sehingga model ARIMA tepat digunakan untuk meramalkan harga saham syariah. Saham syariah ACES merupakan saham yang mempunyai harga saham tinggi dengan model terbaik ARIMA (0,1,4). Ramalan harga saham syariah ACES mengalami penurunan pada bulan September, Oktober, dan November 2021 kemudian stabil sampai bulan Agustus 2023.Kata kunci: ARIMA, peramalan, saham syariah.

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Section: Pendahuluanunclassified

Penentuan Saham Syariah Terbaik melalui Pendekatan Peramalan

Nisa

2022

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Strategic portfolio rebalancing: Integrating predictive models and adaptive optimization objectives in a dynamic market

Clarissa,

Priatmodjo Koesrindartoto

2024

Investment Management and Financial Innovations

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Adjusting investment strategy is one of the ways to handle dynamic market conditions. This study proposes a novel portfolio management strategy using appropriate optimization objectives for different stock market trends while also incorporating market trends and stock return predictions The optimization objectives that will be evaluated for different market trends are maximizing the Sharpe ratio, minimizing risk, and minimizing expected shortfall. This study utilizes simulation modelling with various predictive models on building the portfolios. The results show that, in an upward market trend, the strategy is to choose stocks with positive returns, and the objective is to maximize the Sharpe ratio. The portfolio that follows this strategy during upward market trends has greater returns than both the Indonesian Composite Index and LQ45, which serve as stock market benchmarks, with 90% certainty. Meanwhile, during the downward market trend, the strategy is to choose stocks with a negative correlation with the Indonesian Composite Index, and the proper optimization objective is to minimize risk. A portfolio that follows this strategy during downward market trends has greater returns than stock market benchmarks with 95% certainty. Across the evaluation period from 2018 to 2023, the portfolio using the proposed strategy outperforms both stock market benchmarks, with a higher quarterly Sharpe ratio of 0.3047 and cumulative return of 107.90%. The proposed portfolio has a higher quarterly return than the stock market benchmark with 99% certainty. Therefore, the proposed strategy shows a promising result in a dynamic market.

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ARCH and GARCH Models on the Indonesian Sharia Stock Index

Cited by 2 publications

References 30 publications

Penentuan Saham Syariah Terbaik melalui Pendekatan Peramalan

Penentuan Saham Syariah Terbaik melalui Pendekatan Peramalan

Strategic portfolio rebalancing: Integrating predictive models and adaptive optimization objectives in a dynamic market

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