Implementation of Forecasting Hedging Model During the Covid-19 Pandemic with the Event Windows Approach to Asean Stock Prices 6

Abstract

—This study was conducted to analyze the stock exchanges of ASEAN 6 (Indonesia, the Philippines, Malaysia, Singapore, Vietnam, and Thailand) related to the dynamics of daily stock prices including the decline during the Covid-19 Pandemic. This data is described as a time series comprised of daily inventory expenditures, varied heteroscedasticity, and the ASEAN stock dummy hedging variable. The GARCH mannequin is one of the excellent styles used to address the issue of heteroscedasticity (generalized autoregressive conditional heteroscedasticity). As a result, this study seeks to develop the best appropriate model for forecasting 400 days before and 297 days following the Covid-19 epidemic, as well as to offer advice for mitigating the impact of daily stock price swings. The data was previously gathered by analyzing the daily rates of ASEAN 6 world stocks from January 1, 2019, to May 17, 2021. Additionally, the article examines the Event Window, with the ideal model denoted as AR (1) GARCH (1, 3). The results confirmed that the model with an error of less than 0.0073 is AR (1) - GARCH (1,3), which is an excellent model for forecasting daily inventory costs in ASEAN 6.