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Jurnal Ekonomi dan Studi Pembangunan

Abstract

The Indonesian capital market is one of the investment destination countries for investors in developed countries. The development of economic conditions in Indonesia itself is considered suitable for investors to invest. Insurance sector stocks are one of the sectors that are the target of investors. This present study predicts the share price of insurance companies in Indonesia. Data in daily from 2010 to 2020 uses the Autoregressive Conditional Heteroscedasticity - Generalized Autoregressive Conditional Heteroscedasticity (ARCH - GARCH) method. The data involved in this study are time-series data on daily stock prices from nine insurance companies listed on the Indonesian Stock Exchange (IDX) and never delisted. The results of this study indicate that forecasting that was carried out until 2025 all the insurance companies studied experienced an upward trend in stock prices. Investors can manage their funds by increasing or decreasing the insurance stock portfolio and adjusting the asset allocation with the investment strategy

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