Modeling and Forecasting Closing Prices of some Coal Mining Companies in Indonesia by Using the VAR(3)-BEKK GARCH(1,1) Model

Wamiliana Wamiliana, Edwin Russel, Iskandar Ali Alam, Widiarti Widiarti, Tuti Hairani and Mustofa Usman
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Wamiliana Wamiliana: Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Lampung, Indonesia
Edwin Russel: Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Lampung, Indonesia
Iskandar Ali Alam: Department of Management, Faculty of Economic and Business, Universitas Bandar Lampung, Indonesia
Widiarti Widiarti: Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Lampung, Indonesia
Tuti Hairani: Institut Maritim Prasetiya Mandiri Lampung, Indonesia
Mustofa Usman: Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Lampung, Indonesia

International Journal of Energy Economics and Policy, 2024, vol. 14, issue 1, 579-591

Abstract: Today, coal is the main source of energy in both developed and developing countries. The use of coal fuel for power generation and industry continues to increase. This research will discuss the closing price relationship model for the share prices of two coal companies in Indonesia, namely ABM and IND_E, from January 2018 to July 2023. The modeling used is a multivariate time series approach. From the results of the data analysis, the best model that fits the data is the VAR(3)-BEKK GARCH(1,1). Based on this best model, further analysis of Granger causality, impulse response function (IRF), and forecasting for the next 30 periods as well as the proportion of prediction error covariance are discussed.

Keywords: Vector Autoregressive; BEKK GARCH Model; Forecasting; Granger Causality; Proportion Prediction Error Covariance (search for similar items in EconPapers)
JEL-codes: C01 C53 L72 Q47 (search for similar items in EconPapers)
Date: 2024
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