Title:
The Implementation of Generalized Autoregressive Conditional Heteroscedasticity (GARCH) Model on the Index Forecasting of Sharia Stocks in Asian Countries

Authors:
Mery Sukartini, Abdul Moin, Indonesia

Abstract:

The study of forecasting volatility of stocks has been discussed and investigated among scholars. Volatility plays important role in determining stock value as well as portfolio in stock market. This study investigates the use of GARCH model (generalized autoregressive conditional heteroskedasticity) in forecasting Islamic index stock in Asian countries. This study employs data from yahoo. finance including six countries namely India, Singapore, Japan, China, Malaysia, and Indonesia. There are 1304 data observation of daily closing price for the period between January 2016 and December 2020. The results of the study show that  GARCH model can be employed as a mediation of forecasting sharia indexed stock. This implies that GARCH model can be used as forecasting steps in Islamic stock in Asian countries. Investors can take into account the model of GARCH in forecasting of Islamic stock market in Asian countries particularly India, Japan, China, Singapore, Malaysia and Indonesia.

DOI: http://dx.doi.org/10.51505/ijebmr.2022.6611