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Faizul Mubarok
Universitas Terbuka
Religion Aerospace Engineering Agriculture, Biological Sciences & Forestry Humanities Automotive Engineering Biochemistry, Genetics & Molecular Biology Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Environmental Science Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Mathematics Public Health Social Sciences Other

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Journal : ECOPLAN : JOURNAL OF ECONOMICS AND DEVELOPMENT STUDIES

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Navigating Global Stock Volatility with The Integration of GARCH-VECM Models in The Disruption Era Melan Rena; Faizul Mubarok; Andi Harmoko Arifin
Ecoplan Vol 8 No 2 (2025)
Publisher : Jurusan Ilmu Ekonomi dan Studi Pembangunan Fakultas Ekonomi dan Bisnis Universitas Lambung

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20527/ecoplan.v8i2.1211

Abstract

The global advertising industry is undergoing structural transformation amid rapid digital disruption and economic uncertainty. This study examines the impact of technological disruption including the adoption of artificial intelligence (AI), big data, and automated advertising systems and digital economy indicators on the stock volatility of three multinational advertising companies: WPP plc (UK), Omnicom Group Inc. (US), and Dentsu Group Inc. (Japan). Using monthly data from 2008 up to 2024, the research employs a hybrid econometric approach integrating the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model to capture short-term volatility dynamics and the Vector Error Correction Model (VECM) to assess long-term equilibrium relationships among variables. Analyzed variables include technology indices (NASDAQ-100, FTSE Techmark, Nikkei-225), inflation (CPI), digital advertising expenditure, and revenue. The integrated GARCH-VECM model is evaluated against individual GARCH and VECM models using performance metrics such as MAE, RMSE, MAPE, confidence intervals, and cross-validation tests. Results show that technological disruption significantly increases stock volatility across all firms, while inflation effects vary depending on the country context. Sector-specific indicators, including digital advertising spending and revenue, exhibit limited short-term influence. Long-run cointegration is confirmed, particularly for WPP and Omnicom, indicating structural sensitivity to global digital transformation. The integrated GARCH-VECM model demonstrates superior predictive accuracy, stability, and robustness compared to single models. This study contributes novel empirical evidence and practical insights for effective risk management in the highly digitized and volatile advertising sector, benefiting policymakers, investors, and corporate strategists.
Co-Authors Abdul Halim Abdul Hamid Abdul Hamid Ahmad, Rosimah Andi Harmoko Arifin Andi Harmoko Arifin Ari Warokka Arie Wibowo Khurniawan Arief Mufraini, Arief Astuti, Desy Widhi Aumeboonsuke, Vesarach Benbadri, Asir Filard Bisma, Muhammad Faturrahman Aria Damayanti, Prisila Damayanti, Prisilla Damayanty , Prisila Deni Nugraha Diky Paramitha El Ghifari, Muhammad Sheva Endi Rekarti, Endi Eni Sutrieni Erlin, Erlin Etik Ipda Riyani Etik Ipda Riyani, Etik Ipda Riyani Etty Puji Lestari Fadhli, Mohammad Masykur Fajarwati, Nabila Desinta Farhan Putra Pramudya Fatimah Azzahrah Fatimah, Etty Febrina, Anisha Ferliana, Vira Firdaus, Paja Zaky Fizriyah, Nurul Florentina, Ika Halim, Abdul Henanda, Fauzan Falah Hendrian Hendrian, Hendrian Hermanto Siregar Himawan, Farras Azhar Ananda Husen, Ulfiya Indasaputry, Erliana Indo Yama Nasaruddin Irmawaty Ishanifah, Annisa Izzuddin, Muhammad Ziyad Joko Rizkie Widokarti Kabul Wahyu Utomo Kasful Anwar Khurniawan, Arie Wibowo Klimko, Roman Kurnia, Muhammad Irfan Kurniawan*, Iqbal Latif, Sahraman D Hadji Lumbangaol, Lasando Lumintang, Zulfikar Halim Lyadi, Citra Febria Mahjus Ekananda Martino Wibowo Maulida, Zahra Mawarni, Annisa Putri Melan Rena Mohammad Masykur Fadhli Mohammad Nur Rianto Al Arif Muhammad Arief Mufraini Muhammad Faturrahman Aria Bisma Muhammad Ridho Syakhran Siregar Muhammad Ziyad Izzuddin Muhammad Zulham Tarmuzi Maradjabesi Mulyawan, Anggi Muna, Putri Naelul Mutiara, Laila Nabila, Bela Nunung Nuryartono Nur'aini, Dyah Tari Nurhasanah, Anggun Nurmailia, Avhita Pamungkas, Farhan Pangestu, Ilham Patiro , Shine Pintor Siolemba Poluan, Meylan Sendy Pradana, Hasta Dwi Prakoso, Yoga Dwi Pramudya, Farhan Putra Prasetiyo, Yudhi Pratiwi, Rida Adela Prisila Damayanty Purnomo, Kelik Heri Putra, Muhammad Zaki Adzkiya Rahman, Saif Ur Rahman, Saif-Ur Rentika, Della Rika Candraningrat, Ica Rusdianto Rusdianto Rusdianto Sabrina, Kayla Nur Said Kelana Asnawi Salsabila, Shazkia Sauqi, Irfan Senewe, Fika Olivia Sepviani, Aulia Setijaning, Herlin Tundjung Setyowati, Erlina Nur’aini Shine Pintor Siolemba Patiro Shofia, Shofia Sippavitch Wongsuwatt Siregar, Muhammad Ridho Syakhran Sri Wahyuni SULTAN, ZULKIFLI Suntrayuth, Sid Syaiful, Dzikra Nisa Syarif, Afdal Tiena Suhartini Tubagus Ismail Ulfarini, Deby Utami, Risma Nadya Utami, Tutik Sri Wardiwiyono, Sartini Wati, Lela Nurlaela Widyawan, Damar Wongsuwatt, Sippavitch Yudhi Prasetiyo Zahra, Ikrimatuz Zilwan, M.