Analisis Volatilitas dan Peramalan Saham Perusahaan Berbahan Dasar Gandum terkait Konflik Rusia Ukraina; Pendekatan dengan Metode ARCH/GARCH

The Russia-Ukraine conflict that is heating up in 2022 be a bad news for the Indonesian capital market. Russia has blocked export routes of Ukraine so that Ukraine's best commodities cannot be exported, for example wheat. This caused the stock performance of wheat-based companies to be affected. This research aims to determine whether or not the influence of bad news is greater than good news as a cause of stock volatility in wheat-based companies and stock forecasting while measuring the accuracy of the forecasting model. This research is an event study with a quantitative approach. The method used is ARCH/GARCH with the data used are weekly adjusted stock prices. The observation period is from 24 February 2022 to 31 December 2023 with six samples of wheat-based companies. The results show that there is no asymmetric effect in all models so that the volatility that occurs in wheat-based company stock returns is not only caused by bad news. The forecasting results obtained stock return of AISA is -2.30%; GOOD -0.67%; and ROTI 0.87%. The forecasting results show the MAPE value is below 10% so the forecasting model is very accurate..