Prediction Volatility of JKSE in Indonesia Stock Exchange

摘要

This paper attempted to examine the impact of changes in the SBI rate, inflation and the rupiah per US Dollar (USD) against the volatility of the JKSE to be used as a guide by both policy makers and market participants in the capital market. Prediction of the JKSE volatility would bepredicted by using the GARCH and EGARCH approach. The results of data processing during the period January 1998 to December 2015, found a significant effect between the SBI rate, inflation and the rupiah per US dollar against volatility of the JKSE in IDX at 99% confidence level. Model AR(5)-EGARCH(1,5) was the best model for predicting stock index volatility than other models on the Stock Exchange.