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All Journal Journal of Multidisciplinary Academic and Practice Studies International Journal of Accounting and Management Information Systems
Sitepu, Victor Bastanta
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Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Languange, Linguistic, Communication & Media Social Sciences Other

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Comparative analysis of Black-Scholes and GARCH models using collar strategy for hedging in telecommunication industry (Telkom, Xl, Indosat) Soma, Abdul Mukti; Sitepu, Victor Bastanta
International Journal of Accounting and Management Information Systems Vol. 3 No. 2 (2025): August
Publisher : Goodwood Publishing

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35912/ijamis.v3i2.3334

Abstract

Purpose: This study examines the implementation of option contracts in the Black-Scholes model by comparing historical volatility and GARCH volatility using a collar strategy on TLKM, EXCL, and ISAT shares for the 2007–2024 period, aiming to determine the most appropriate model under crisis and normal conditions. Research/methodology: The Black-Scholes model is applied with two volatility estimation methods historical and GARCH on options with 1-month and 3-month maturities, analyzed across crisis and non-crisis periods. Results: For TLKM, with a 1-month maturity, GARCH outperformed historical volatility except during the 2008–2009 crisis; for 3 months, historical volatility outperformed in 2007, 2008–2009, and 2023–2024. For EXCL, historical volatility outperformed at 3 months in all conditions and at 1 month during crises; GARCH outperformed at 1 month in non-crisis periods. For ISAT, GARCH outperformed at 1 month except during the 2008–2009 crisis; historical volatility outperformed at 3 months during the non-crisis periods of 2007, 2023–2024, and the 2008–2009 crisis. Conclusions: Performance varies by volatility method, maturity, and market condition. GARCH tends to perform better for short-term maturities in non-crisis periods, while historical volatility performs better for longer maturities and certain crisis periods. Limitations: This study is limited to TLKM, EXCL, and ISAT stocks from 2007–2024, using only Black-Scholes and GARCH models with collar strategy, and may not generalize to other sectors or instruments. Contribution: The study offers empirical evidence on optimal volatility modeling for hedging in Indonesia’s telecommunications sector.
Comparison of black scholes and garch models using collar strategy as a hedging efforts in the telecommunication industry (Telkomsel, XL, Indosat) Sitepu, Victor Bastanta; Soma, Abdul Mukti
Journal of Multidisciplinary Academic and Practice Studies Vol. 2 No. 1 (2024): February
Publisher : Goodwood Publishing

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35912/jomaps.v3i3.3209

Abstract

Purpose: This study aims to examine the influence of the internal control system and human resource competence on the quality of financial reports within the Nabire Regency Government. Research/methodology: A quantitative approach was employed using primary data collected through questionnaires distributed to 30 respondents working in financial administration across various regional apparatus organizations (OPD) in Nabire. The data were analyzed using multiple linear regression with SPSS to test the hypotheses regarding the direct effects of internal control and HR competence on report quality. Results: The results indicate that both the internal control system and the competence of human resources have significant positive effects on the quality of financial reporting. The better the internal control mechanisms and the higher the HR competence, the more reliable, accurate, and transparent the financial reports produced by the local government. Conclusions: Strengthening internal controls and enhancing HR competence are essential strategies for improving the quality of local government financial reports, ensuring better public accountability and compliance with reporting standards. Limitations: The study is limited by its small sample size and focus on a single regency, which may restrict the generalizability of findings to other regions or government levels. Contribution: This research contributes to public sector accounting literature by empirically demonstrating how governance and human capital factors influence financial reporting quality in local governments, offering insights for policymakers and practitioners aiming to enhance financial transparency.
Co-Authors Abdul Mukti Soma