Indonesian Stock Market Volatility: GARCH Model

Abstract

The purpose of this paper is to examine the effect of macroeconomic variables (interest rates, inflation and exchange rates) and global stock exchanges (STI, SSE, N225, DJIA, FTSE100) on the movement of the Indonesian stock exchange (IHSG). The research data analysis method uses the GARCH model for time series data for the period January 2012 to December 2018. The results show that the BIrate, Inflation, Exchange Rate, Straits Times Index (STI), Shanghai Stock Exhange (SSE), Shanghai Stock Exhange (SSE), Nikkei 225 (N225)), Dow Jones Industrial Average (DJIA) and Financial Times Stock Exchange 100 ( FTSE100) together have a significant effect on the IHSG. Partially shows the BI-rate, Inflation, and SSE have a significant negative influence, negative N225 is not significant, while the Exchange, STI, DJIA has a significant positive effect and FTSE100 has a non-significant positive effect on the IHSG.