<![CDATA[This study examines the forecasting dynamics of Indonesia's Sovereign Wealth Fund, DANANTARA, on the BUMN-20 Index using a hybrid ARIMA-GARCH model. The establishment of DANANTARA in February 2025 generated mixed reactions among capital market participants, with the Indonesian Stock Exchange suspended trading after share prices declined by more than five percent. Using daily time-series data from June 2018 to August 2026, this study employs a hybrid ARIMA(1,1,3)-GARCH(1,1) framework processed through E-Views 12. The results indicate that the BUMN-20 Index is predominantly driven by broader market movements, as evidenced by the highly significant IHSG return coefficient (β =1.237, p < 0.001). In the mean equation, the DANANTARA announcement and launch events do not produce statistically significant shifts in average returns. However, in the variance equation, the announcement significantly elevated conditional volatility (γ = 0.025, p = 0.009), suggesting heightened market uncertainty. The volatility persistence measure (α + β = 0.952) indicates that shocks to the BUMN-20 Index decay slowly, with a half-life of approximately 14 trading days. The forecasting results suggest a gradually declining trajectory for the index, though this does not imply a causal relationship with DANANTARA. These findings contribute to the literature by demonstrating that the primary channel through which a nascent SWF affects domestic equity markets is volatility rather than returns. The policy implications highlight the importance of for transparent governance and consistent communication in mitigating market uncertainty surrounding DANANTARA's operations.]]>
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