This study examines the volatility behavior of KBMI 4 stocks BBCA,
BBRI, BMRI, and BBNI which play a critical role in the national financial system.
Amid rising domestic political uncertainty and global trade tensions, these banks
experienced sharp stock price declines in 2025. Understanding volatility patterns is
crucial for risk management, especially in emerging markets facing macroeconomic
shocks. The research addresses three key questions: the persistence of volatility
shocks, the most accurate volatility forecasting model, and whether stock returns
respond symmetrically to news. Weekly return data from 2014 to 2024 are analyzed
using symmetric GARCH(1,1) and asymmetric GARCH models (EGARCH(1,1),
GJR-GARCH(1,1)). The findings show that volatility shocks are highly persistent
across all banks, with α + β values exceeding 1 in EGARCH(1,1) models.
Asymmetric models outperform symmetric ones based on AIC and BIC,
highlighting the importance of modeling leverage effects. Additionally, statistically
significant negative γ coefficients in EGARCH models confirm that negative news
increases volatility more than positive news of the same magnitude. These results
underscore the relevance of using asymmetric GARCH models to capture market
behavior under economic uncertainty. The findings have important implications for
investors, regulators, and policymakers seeking to enhance volatility forecasting,
investment strategies, and financial stability in Indonesia’s banking sector.