Company Stock Performance Analysis on IDX ESG Leaders Index Using the ARIMA-GARCH Model

Hazelino Rafi Pradaswara (Mathematics Undergraduate Study Program, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Jatinangor, Indonesia)
Dwi Susanti (Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Jatinangor, Indonesia)
Sukono Sukono (Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Jatinangor, Indonesia)

International Journal of Quantitative Research and Modeling
Vol 3, No 3 (2022)

Stocks are one of the most popular forms of investment. In investing stocks, it is necessary to know the movement of stock prices and the investment risks that may occur. The purpose of this study is to predict the level of risk, see the characteristics of stock returns, and whether the ESG Risk Rating makes the company's stock performance better. The models used to predict stock returns are Auto Regressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroscedasticty (GARCH), and Value at Risk (VaR) is used to predict risk. Based on the research, the potential loss for Bank BCA is IDR29.800.000,00 and Bank Mandiri is IDR33.600.000,00 with the assumption that an investor invests as much as IDR1.000.000.000,00. In addition, Bank BCA has a lower ESG Risk Rating than Bank Mandiri, but has a better performance.