Articles

Modeling Volatility Asymmetry in Government-Owned Stocks: Evidence from Value at Risk Estimation in Indonesia

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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 addresses a critical gap in empirical risk modeling for government-owned equities. A key contribution of this study lies in the integration of asymmetric GARCH-family models with Student-t innovations into a VaR estimation framework, tailored specifically to SOE stocks—an approach seldom explored in the Southeast Asian context. The analysis uses daily return data from ten liquid, sectorally diverse SOEs. Volatility is estimated via parametric methods, assuming a normal distribution for EWMA and Student-t distributions for GARCH-type models. Model accuracy is evaluated through in-sample and out-of-sample backtesting, employing MAE, RMSE, and the Kupiec and Christoffersen tests. The findings indicate that GARCH(1,1) performs most reliably at the 95% confidence level, while TGARCH demonstrates superior performance at the 99% level, particularly in capturing downside risk. EGARCH tends to produce conservative estimates, whereas EWMA underestimates tail risk. The results support a dual-model strategy for operational monitoring and capital risk management.

Privatization of SOEs a Shift from Protectionism and a Factor of Economic Growth

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: In the framework of economic development, we argue that privatization of State Owned Enterprises (SOEs) is unarguably one of the gateways to succeeding in economic growth. It provides the basis for perfect market competition, promoting employment, reducing government expenditure burden on its budget, promoting employment growth and provides efficient services, boost innovation and the technological revolution of especially developing countries which is an undisputable evidence for economic growth seen for example in Asia and China to be specific. China and a good number of countries with perfect market structures, early economic successes can be largely accredited to privatization of their underperforming SOEs model of promoting economic growth.  In this article, we will attempt to draw the attention of readers on the conjectural background of privatization of SOEs, its effects in promoting economic growth and strategies of its implementation drawing from the experiences of other countries. We used descriptive analysis approach to describe the facts and effects about the significance of privatization of SOEs in economies that are opening up or still moving up the economic development ladder. The paper also draws lessons from developed economies like the US where privatization is a symbol of a capitalist and free market society, although focusing on developing countries with specific reference to Sierra Leone, bench marking the case of China. We discovered that privatization helps government save more and improve efficiency largely through competition that motivates development as well as innovation.