Dynamic Modeling and Forecasting Stock Price Data by Applying AR-GARCH Model

Abstract

The aims of this study are to obtain the best model, to estimate parameters, and to predict the adjusted closing stock prices of Elnusa Tbk from January 2015 to December 2018, which is categorized in BEI as mining sector in Indonesia.Application of AR-GARCH model comes to be the solution to overcome the high volatility and heterogeneous variance that can often be the issues in many financial and economic time series data. The best model which fits to the data is AR(1)-GARCH(1,1) model.The model can be applied soundly to predict the following 30 days stock prices that can a consideration for investors to put or call the firm’s stocks.