Analisis Volatilitas Saham Syariah di Bursa Efek Indonesia Menggunakan Model GARCH

Abstract

This study aims to analyze the volatility of Islamic stocks listed on the Indonesia Stock Exchange (IDX) using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model. Sharia stocks are an investment option that is increasingly in demand by investors, but high stock price volatility can affect investment decisions. The GARCH model is used to measure volatility that can fluctuate over time, which is important in understanding stock price dynamics and market risk. This study uses daily data on stocks included in the Indonesian Sharia Stock Index (ISSI) during the 2015-2020 period. The results of the analysis show that the volatility of Islamic stocks on the IDX has the characteristics of heteroscedasticity, and the GARCH model is able to provide a good estimate to predict future volatility. This research also provides insights for investors and portfolio managers in managing the risk of sharia stocks.