Spillover Volatilitas Pasar Saham Indonesia Dan Singapura Periode 2001-2005

Using an Autoregressive model combined with a univariate Exponential GARCH model for constructing a volatility spillover model, we investigate asymmetric effect and volatility persistence effect in Indonesia and Singapore stock market, and the effect of volatility spillover from Singapore stock market considered as one of Asian financial activity center to Indonesia stock market during the post Asian financial crisis period. The study reveals that the degree of volatility persistence slightly increases as we include the spillover effect from Singapura as one extra variable in the variance equation. We also find that strong evidence of volatility spillover effect from Singapore to Indonesia stock market