Analisis Volatilitas Pasar Saham pada Emerging Markets: Studi Empiris Menggunakan Model GARCH
DOI:
https://doi.org/10.55606/jurrie.v5i1.8657Keywords:
emerging markets, stock market volatility, GARCH model, volatility clusteringAbstract
Stock market volatility represents a key indicator of financial market uncertainty, particularly in emerging economies where market structures are still evolving and are highly sensitive to global shocks. This study aims to analyze and compare the volatility dynamics of stock markets in four Asian emerging economies: Indonesia, India, Malaysia, and Thailand. The research employs a quantitative approach using daily stock index data from January 2011 to January 2026 obtained from Yahoo Finance. Stock returns are calculated using logarithmic transformation and analyzed using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH(1,1)) model. Prior to model estimation, stationarity and ARCH effect tests are conducted to ensure the validity of volatility modeling. The empirical findings indicate that all return series exhibit non-normal distribution, strong volatility clustering, and significant ARCH effects. The estimation results show that both ARCH and GARCH parameters are statistically significant, with persistence levels close to unity across all markets, implying that volatility shocks tend to persist over a long period. These findings suggest that emerging stock markets in Asia are highly sensitive to external shocks and exhibit long-memory volatility behavior. The results provide important implications for investors and policymakers in designing effective risk management and market stabilization strategies.
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