Article Per Year (5 Year)
p-Index From 2020 - 2025
0.444
P-Index
This Author published in this journals
All Journal Majalah Ilmiah Bijak Al-Tijary : Jurnal Ekonomi dan Bisnis Islam
Muhammad Faturrahman Aria Bisma
Universitas Islam Negeri Syarif Hidayatullah Jakarta
Humanities Economics, Econometrics & Finance Social Sciences

Published : 2 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 2 Documents
Search

 1 
Jakarta Islamic Index Stock Volatility and Forecasting Using Realized GARCH Model Muhammad Faturrahman Aria Bisma; Faizul Mubarok
Majalah Ilmiah Bijak Vol 18, No 1: March 2021
Publisher : Institut Ilmu Sosial dan Manajemen STIAMI

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31334/bijak.v18i1.1228

Abstract

Along with the large number of investors transacting on Islamic stocks, stock prices' movement becomes more volatile. The purpose of this research is to examine the behavior of volatility patterns in shares incorporated in the Jakarta Islamic Index using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model. This study uses daily data from six stocks in the Jakarta Islamic Index during the period of January 1, 2009, to December 31, 2019. Data volatility is seen using the GARCH model. Estimation results for daily data show that the volatility of ASII, SMGR, TLKM, UNTR, and UNVR shares is influenced by the previous day's error and return volatility. This is indicated by the GARCH effect on each regression result. The study results are beneficial for an investor, and invest with a low level of risk can choose TLKM shares. Nevertheless, if going to get a high level of return can invest in UNTR shares. For securities, analysis can use the GARCH model tested to predict volatility in the Jakarta Islamic Index.
Modeling of Jakarta Islamic Index Stock Volatility Return Pattern with Garch Model Faizul Mubarok; Muhammad Faturrahman Aria Bisma
Al-Tijary Vol 6 No 1 (2020): AL-TIJARY VOL. 6, NO. 1, DESEMBER 2020
Publisher : Fakultas Ekonomi dan Bisnis Islam Universitas Islam Negeri Sultan Aji Muhammad Idris Samarinda

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (493.274 KB) | DOI: 10.21093/at.v6i1.2468

Abstract

Along with the large number of investors transacting on Islamic stocks, the movement of stock prices becomes more volatile. The purpose of this research is to examine the behavior of volatility patterns in shares incorporated in the Jakarta Islamic Index using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model. This study uses daily data from six stocks contained in the Jakarta Islamic Index during the period January 1, 2009, to December 31, 2019. Data volatility is seen using the GARCH model. Estimation results for daily data show that the volatility of ASII, SMGR, TLKM, UNTR, and UNVR shares is influenced by the error and return volatility of the previous day. This is indicated by the GARCH effect on each regression result. The results of the study are beneficial for an investor, and if you want to invest with a low level of risk, you can choose TLKM shares. But if you're going to get a high level of return, you can invest in UNTR shares. For securities analysis, you can use the GARCH model that has been tested to predict volatility in the Jakarta Islamic Index.
Co-Authors Faizul Mubarok