Volatility Analysis of Telecommunication Sector Stock Returns Using ARCH and GARCH Models
Keywords:
Stock Return Volatility, ARCH, GARCH, HeteroscedasticityAbstract
This study investigates the volatility of stock returns in the Indonesian telecommunications sector during the period January 2024 to May 2025. The research focuses on three major issuers PT Telkom Indonesia Tbk (TLKM), PT Indosat Tbk (ISAT), and PT XL Axiata Tbk (EXCL) due to their active trading and significant market capitalization. Daily closing price data were converted into log returns and tested for heteroscedasticity using normality and ARCH-LM tests. The results confirm the presence of volatility clustering, particularly in ISAT and TLKM stocks, indicating time-varying volatility. Both ARCH(1) and GARCH(1,1) models were estimated to capture the volatility dynamics, with GARCH models demonstrating better performance across all three stocks, as reflected by lower AIC values and higher log-likelihood scores. ISAT exhibited the highest return fluctuations, while EXCL appeared more stable. These findings highlight the persistence of volatility in the telecommunications sector and reinforce the importance of selecting appropriate econometric models for risk assessment. The study offers relevant insights for investors and market analysts in making data-driven decisions under uncertain market conditions.
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Copyright (c) 2025 Haliza Silviya, Faiz Aulia Rahman Sitepu, Delima Fitriani Lubis, Ahmad Albar Tanjung
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