Dynamic Modeling and Analysis of Some Energy Companies of Indonesia Over the Year 2018 to 2022 By Using VAR(p)-CCC GARCH(r,s) Model

Dynamic Modeling and Analysis of Some Energy Companies of Indonesia Over the Year 2018 to 2022 By Using VAR(p)-CCC GARCH(r,s) Model

The stock price plays an important role in a financial market. In this research, the natural relationship of the daily stock prices of two energy companies, namely the daily stock price of ADRO and PTBA, from January 2018 to December 2022 will be discussed. The purpose of this research is to obtain...

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Bibliographic Details
Main Authors: Mustofa Usman, M. Komarudin, Nurhanurawati Nurhanurawati, Edwin Russel, Ahmad Sidiq, Warsono Warsono, F. A.M Elfaki
Format: Article
Language:English
Published: EconJournals 2023-07-01
Series:International Journal of Energy Economics and Policy
Subjects:
VAR(p) model
CCC GARCH(r s) model
Impulse Response Function
Granger causality
varaiance decomposition
forecasting
Online Access:http://econjournals.com/index.php/ijeep/article/view/14364

Internet

http://econjournals.com/index.php/ijeep/article/view/14364

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