The Effect of the COVID-19 Pandemic on Stock Prices with the Event Window Approach: A Case Study of State Gas Companies, in the Energy Sector
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Suripto: Department of Business Administration, Faculty of Social and Political Science, Lampung University, Indonesia,
Supriyanto: Department of Business Administration, Faculty of Social and Political Science, Lampung University, Indonesia.
International Journal of Energy Economics and Policy, 2021, vol. 11, issue 3, 155-162
Stock price data at State Gas Company is defined as the time-series data comprising varying volatility and heteroscedasticity. One of the best models used to solve the problem of heteroscedasticity is the GARCH (generalized autoregressive conditional heteroscedasticity) model. Therefore, this study aims to build the most suitable model for predicting the 186 days before and 176 days after the Covid-19 pandemic, as well as to provide recommendations to reduce the impact of daily stock price movements. Data were obtained by examining the daily stock price data in Indonesian National Gas Companies from 2019 to 2020. The study also discusses the Event Window, with the best model identified as AR (1) -GARCH (1,1). The result showed that an error of less than 0.0015 is AR (1) - GARCH (1,1), provided the best model for price forecasting of Indonesian National Gas Companies.
Keywords: Stock Price; Heteroscedasticity; GARCH Model; Event Window (search for similar items in EconPapers)
JEL-codes: C5 O42 Q4 Q47 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2021-03-19
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