Modeling Volatility Asymmetry in Government-Owned Stocks: Evidence from Value at Risk Estimation in Indonesia
This study evaluates the comparative effectiveness of four volatility models—EWMA, GARCH(1,1), EGARCH, and TGARCH—in estimating daily Value at Risk (VaR) for a portfolio of Indonesian state-owned enterprise (SOE) stocks over the period 2019–2024. Motivated by the rapid growth of retail investor participation and increasing exposure to market risk in Indonesia’s emerging capital market, the research […]
