Implementation of the Vector Autoregressive (VAR) Model in Electricity Supplier Companies

Authors: , , , ,

Abstract: The government's policy regarding setting special prices for coal as fuel for power plants is a dilemma for investors because if the policy is implemented there is a possibility that it will affect the company's profitability and impact the company's share price. Scientific forecasting of a company's future based on share price volatility with various considerations including political, social and economic aspects of the country are things that must be taken into account when making decisions. The method that will be used in this research is quantitative descriptive through the application of the VAR model to be able to describe the causal relationship between variables. The result is a VAR model for each variable that is used as a forecasting model for the daily share price volatility of companies supplying coal to PLN, so that investors can make strategic steps in investing.

Financial Engineering, E-ISSN: 2945-1140, Volume 2, 2024, Art. #14

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Rr Erlina, Ayi Ahadiat, Rialdi Azhar, Luthfi Firdaus, Toto Gunarto, "Implementation of the Vector Autoregressive (VAR) Model in Electricity Supplier Companies," WSEAS Transactions on Financial Engineering, vol. 2, pp. 156-161, 2024, DOI:10.37394/232032.2024.2.14
Rr Erlina, Ayi Ahadiat, Rialdi Azhar, Luthfi Firdaus, Toto Gunarto. Implementation of the Vector Autoregressive (VAR) Model in Electricity Supplier Companies. Financial Engineering. 2024;2:156-161. 10.37394/232032.2024.2.14
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