摘要：This study aims to create a stock return volatility model on the Indonesia Stock Exchange. The object of this study is the volatility of stock returns and weekly composite composites. The data used is secondary data in the form of weekly composite stock price index data. Data analysis uses multiple volatility, symmetric and asymmetrical GARCH modeling. The results of this study indicate that the TGARCH asymmetric model can present stock return volatility. In addition, in the Indonesian stock market there is an asymmetrical effect that shows a negative shock has a more pronounced effect than a positive shock on the stock market.
