This paper has objective to explore and forecast volatility of Jakarta Stock Exchange for
period 1988 to June 2005. Three methods are used in forecasting volatility that is
Historical Volatility, Autoregressive Conditional Heteroscedasticity (ARCH), and
Generalized Autoregressive Conditional Heteroscedasticity (GARCH). It is found that
the conditional volatility significantly affected current volatility. GARCH (1,1) can be
used to forecast volatility.
