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Abstrak :
Tujuan dilaksanakannya penelitian ini adalah untuk menganalisis pengaruh issue-issue dalam negeri pada volatilitas return saham serta menguji kinerja model GARCH dalam kemampuannya memprediksi (forecast) volatilitas return saham. Return saham diproxy dari indeks harga saham gabungan harian (composite index daily). Aspek-aspek yang diteliti meliputi pengenalan model GARCH, cara mendapatkan konstanta dan koefisien persamaan regresi serta kemampuannya memprediksi nilai volatilitas return saham ke masa yang akan datang. Penelitian ini menggunakan data IHSG harian dari 1 Juli 1997 sampai dengan 30 Desember 2004. Data-data tersebut diperoleh dari PDPM-il3ii dan website "www jsx.co.id" di Internet, yang merupakan situs resmi dari Jakarta Stock Exchange. Metodologi penelitian adalah dengan cara membagi data menjadi 2 bagian atau periods, perioda ke-1 untuk pembuatan model dan perioda ke-2 untuk digunakan sebagai pembanding hasil prediksi. Keabsahan hasil model yang dibuat dan kemampuannya memprediksi diuji dengan beberapa soft ware komputer. Sedangkan hasil ujinya dilihat dari indikator-indikator statistik yang ditampilkan. Kesimpulan hasil penelitian, ternyata issue-issue dalam negeri terutama yang berhubungan dengan perpolitikan berpengaruh pada volatilitas return saham serta GARCH merupakan model regresi yang mampu menjelaskan volatilitas return saham dan memberikan prediksi yang baik. Model GARCH bahkan mampu memprediksi volatilitas return saham pada kondisi ekonomi makro yang stabil maupun bergejolak tahun 2003 - 2004 dengan model yang dibangun dari kondisi crisis ekonomi parah tahun 1997 - 1998.

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Target implementation of this research is analyzing influence domestic issues on stocks return volatility and also test performance of GARCH models and its ability stock return volatility forecasting. Stock return was taken from composite index daily. Aspects of research cover recognition of GARCH model, way of getting coefficient and regression equation constant value and also the ability to forecast stock return volatility value in the future. This research use composite index daily data from July P`, 1997 until December 30'h, 2004. The data obtained from PDPM-iBii and website "www jsx.co.id" in internet, is formal sites of Jakarta Stock Exchange. Methodologies of Research is by dividing data become 2 period, first period for making of models and second period to be used as comparator result of forecasting. Validity of made models result and the ability to forecast is tested by a few computers software. While the test result of is seen on statistical indicator which is presented. Conclusion of research, in the reality domestic issues especially related to politics having an effect on stocks return volatility and also GARCH is regression model that capable to explain stock return volatility and give forecasting the goodness. GARCH models even forecast stock return volatility at stable macro economic condition and flare up year 2003 - 2004 with woke up models from hard economic crisis condition of years 1997 - 1998.

Abstrak :
This study examines the effect of macroeconomics variables to a mutual fund's return. The macroeconomic variables hypothesized to affect the portfolio performance are change in exchange rate (IDR to US dollar return), change in SBI rate, and growth of money supply. Furthermore, the prediction of expected return is also examined whether related to return of previous periods (lag return) and the level of their volatility. The selected mutual fund is Mawar Mutual Funds issued by PT Dana Reksa and data are collected from June 31 *' 1998 until May 21st 2004. The statistical method to test on the hypothesis is Generalized Autoregressive Conditional Heteroskedasticity (GARCH). The results show that there are negative relationships between Mawar Mutual Fund's return to exchange rate return as well as change in SBI rate. This research also indicates that exchange rate return and change in SBI rate affect Mawar Mutual Fund's volatility. There is significant relationship between first lag return and Mawar's return of this period. But the results do not show any relation between Mawar's return to its volatility as well as the growth of money supply.

Abstrak :
This study aims to examine the preference of investors of pharmaceutical companies, including companies that produce herbal medicines, listed in the Indonesian Stock Exchange from 2020 to 2021. By using the descriptive analysis method and reviewing the daily stock prices of Indofarma (INAF), Kimia Farma (KAEF), Kalbe Farma (KLBF), and Sido Muncul (SIDO) in that period, it was found that there were unusual stock prices increases for state-owned pharmaceutical enterprises during those times. However, a similar occurrence did not occur with the other listed pharmaceutical companies, including one herbal medicine manufacturer. In comparing stock price movement trends, the researcher used Microsoft Excel software. The researcher also reviewed the monthly stock closing prices and the news published at that moment. It was found that related events and news existed for every significant increase in stock prices, which might influence investors' perceptions. In addition, the researcher also examined the data to test whether there was a correlation between the number of infected cases and stock prices using the ARCH model estimation. It was found that the relationship between both of them was insignificant. The researcher expects that the findings of this research not only will be a discussion topic in academic groups but also will be a reference for capital market investors and the government as the policyholders and controlling shareholders of these state-owned enterprises. Further studies on listed pharmaceutical companies in the capital markets of other countries are needed to complete the findings in this research, which may find different facts due to different policies in handling the COVID-19 pandemic.

Abstrak :
Risk Management atau manajemen risiko saat ini merupakan salah satu prioritas utama yang dipertimbangkan industri keuangan, khususnya pasar modal. Risiko pasar (market risk) yang merupakan risiko yang timbul karena adanya volatilitas pada harga atas aset-aset keuangan dan kewajiban adalah salah satu risiko yang dihadapi para pelaku pasar modal. Penelitian ini dilakukan untuk melakukan pemodelan volatilitas terhadap return portofolio sepuluh saham teraktif di Bursa Efek Indonesia. Pembentukan portofolio dilakukan dengan pemberian bobot berdasarkan jumlah relatif aset yang diinvestasikan pada awal periode. Selanjutnya pemodelan volatilitas return portofolio tersebut dilakukan dengan menggunakan tiga model volatilitas, yaitu model RiskMetrics, normal Generalized Autoregressive Conditional Heteroscedasticity (GARCH), dan student GARCH atau t-GARCH. Dalam rangka mengukur tingkat risiko yang dihadapi oleh para trader di Bursa, maka perhitungan nilai risiko dilakukan secara kuantitatif dalam kerangka Value at Risk (VaR) dengan pendekatan Delta-Normal Valuation yang menggunakan asumsi distribusi normal. Penghitungan nilai risiko juga dilakukan dengan menggunakan tiga model VaR, yaitu model VaR RiskMetrics, VaR normal GARCH, dan VaR student GARCH. Pada akhirnya ketiga model VaR yang digunakan untuk mengukur tingkat risiko tersebut dievaluasi dengan menggunakan metode Backtesting dan Kupiec?s Likelihood Ratio Test, dalam rangka mendapatkan model VaR yang akurat, efisien, dan konservatif. Hasil penelitian ini pada akhirnya menunjukkan bahwa model VaR normal GARCH berkinerja lebih baik dibandingkan model VaR RiskMetrics dan student GARCH, di mana model tersebut menunjukkan hasil yang lebih responsif terhadap adanya shock pada pasar dan lebih akurat dalam mengikuti pergerakan return aktual dari portofolio sepuluh saham teraktif yang diobservasi.