文章基本信息

标题：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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作者：Suripto Suripto ; Supriyanto Supriyanto
期刊名称：International Journal of Energy Economics and Policy
电子版ISSN：2146-4553
出版年度：2021
卷号：11
期号：3
页码：155-162
DOI：10.32479/ijeep.10999
出版社：EconJournals
其他摘要：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.
其他关键词：Stock Price; Heteroscedasticity; GARCH Model; Event Window