Modeling and Forecasting Closing Prices of some Coal Mining Companies in Indonesia by Using the VAR(3)-BEKK GARCH(1,1) Model
Today, coal is the main source of energy in both developed and developing countries. The use of coal fuel for power generation and industry continues to increase. This research will discuss the closing price relationship model for the share prices of two coal companies in Indonesia, namely ABM and...
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| Format: | Article |
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EconJournals
2024-01-01
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| Series: | International Journal of Energy Economics and Policy |
| Subjects: | |
| Online Access: | https://econjournals.com/index.php/ijeep/article/view/15167 |
| _version_ | 1797353221957615616 |
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| author | Wamiliana Wamiliana Edwin Russel Iskandar Ali Alam Widiarti Widiarti Tuti Hairani Mustofa Usman |
| author_facet | Wamiliana Wamiliana Edwin Russel Iskandar Ali Alam Widiarti Widiarti Tuti Hairani Mustofa Usman |
| author_sort | Wamiliana Wamiliana |
| collection | DOAJ |
| description |
Today, coal is the main source of energy in both developed and developing countries. The use of coal fuel for power generation and industry continues to increase. This research will discuss the closing price relationship model for the share prices of two coal companies in Indonesia, namely ABM and IND_E, from January 2018 to July 2023. The modeling used is a multivariate time series approach. From the results of the data analysis, the best model that fits the data is the VAR(3)-BEKK GARCH(1,1). Based on this best model, further analysis of Granger causality, impulse response function (IRF), and forecasting for the next 30 periods as well as the proportion of prediction error covariance are discussed.
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| first_indexed | 2024-03-08T13:28:02Z |
| format | Article |
| id | doaj.art-f50e384bbf3244bf860e0713e21e28d7 |
| institution | Directory Open Access Journal |
| issn | 2146-4553 |
| language | English |
| last_indexed | 2024-03-08T13:28:02Z |
| publishDate | 2024-01-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Energy Economics and Policy |
| spelling | doaj.art-f50e384bbf3244bf860e0713e21e28d72024-01-17T14:42:43ZengEconJournalsInternational Journal of Energy Economics and Policy2146-45532024-01-0114110.32479/ijeep.15167Modeling and Forecasting Closing Prices of some Coal Mining Companies in Indonesia by Using the VAR(3)-BEKK GARCH(1,1) ModelWamiliana Wamiliana0Edwin Russel1Iskandar Ali Alam2Widiarti Widiarti3Tuti Hairani4Mustofa Usman5Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Lampung, IndonesiaDepartment of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Bandar Lampung, IndonesiaDepartment of Management, Faculty of Economic and Business, Universitas Lampung, IndonesiaDepartment of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Lampung, IndonesiaInstitut Maritim Prasetiya Mandiri Lampung, IndonesiaDepartment of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Lampung, Indonesia Today, coal is the main source of energy in both developed and developing countries. The use of coal fuel for power generation and industry continues to increase. This research will discuss the closing price relationship model for the share prices of two coal companies in Indonesia, namely ABM and IND_E, from January 2018 to July 2023. The modeling used is a multivariate time series approach. From the results of the data analysis, the best model that fits the data is the VAR(3)-BEKK GARCH(1,1). Based on this best model, further analysis of Granger causality, impulse response function (IRF), and forecasting for the next 30 periods as well as the proportion of prediction error covariance are discussed. https://econjournals.com/index.php/ijeep/article/view/15167Vector Autoregressive, BEKK GARCH Model, Forecasting, Granger Causality, Proportion Prediction Error Covariance |
| spellingShingle | Wamiliana Wamiliana Edwin Russel Iskandar Ali Alam Widiarti Widiarti Tuti Hairani Mustofa Usman Modeling and Forecasting Closing Prices of some Coal Mining Companies in Indonesia by Using the VAR(3)-BEKK GARCH(1,1) Model International Journal of Energy Economics and Policy Vector Autoregressive, BEKK GARCH Model, Forecasting, Granger Causality, Proportion Prediction Error Covariance |
| title | Modeling and Forecasting Closing Prices of some Coal Mining Companies in Indonesia by Using the VAR(3)-BEKK GARCH(1,1) Model |
| title_full | Modeling and Forecasting Closing Prices of some Coal Mining Companies in Indonesia by Using the VAR(3)-BEKK GARCH(1,1) Model |
| title_fullStr | Modeling and Forecasting Closing Prices of some Coal Mining Companies in Indonesia by Using the VAR(3)-BEKK GARCH(1,1) Model |
| title_full_unstemmed | Modeling and Forecasting Closing Prices of some Coal Mining Companies in Indonesia by Using the VAR(3)-BEKK GARCH(1,1) Model |
| title_short | Modeling and Forecasting Closing Prices of some Coal Mining Companies in Indonesia by Using the VAR(3)-BEKK GARCH(1,1) Model |
| title_sort | modeling and forecasting closing prices of some coal mining companies in indonesia by using the var 3 bekk garch 1 1 model |
| topic | Vector Autoregressive, BEKK GARCH Model, Forecasting, Granger Causality, Proportion Prediction Error Covariance |
| url | https://econjournals.com/index.php/ijeep/article/view/15167 |
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