ABSTRACT
The COVID-19 pandemic brings significant effects to the global stock market, including Indonesia. This study investigates the behavior and fluctuation of Jakarta Composite Index (JKSE) before the COVID-19 pandemic arises (2018–2019) and 2 years during the COVID-19 pandemic (2020–2021) and its alignment with the government policy in the energy sector. This study will use the JKSE data before and during the Covid-19 pandemic. The study showed that before COVID-19 pandemic, the JKSE was in normal conditions and showed an increasing trend. However, the study found anomalies in the JKSE volatility when COVID-19 pandemic was officially announced in Indonesia during 1st quarter 2020. This study is able to find the forecasted next 30 days best models that can describe the pattern of JKSE data are AR (2)–GARCH (1,1) models for the closing price of JKSE data before the COVID-19 pandemic and AR (5)–GARCH (1,1) models for the closing price of JKSE data during the COVID-19 pandemic. With the government economic recovery program related to the energy sector, this study was able to forecast the next 30 days for the closing price of JKSE during COVID-19, which showed the improvement of JKSE into the small increasing trend. These findings are expected to increase public investor trust, especially foreign investors investing their money in the JKSE. The positive trend in JKSE will ensure the government continues its economic policy recovery plan. © 2023, World Scientific and Engineering Academy and Society. All rights reserved.