Risk Premium and Volatility Analysis on the Indonesia Stock Exchange.

Market risk premium and market volatility are essential in investment decisions. Volatility is a vital variable in derivative securities that measures changes in stock returns. The research focuses on stock return volatility, research that points to a risk premium in emerging markets. This study aims to explain the relationship between market equity premium and volatility using GARCH (1.1) on the Indonesia Stock Exchange. This research uses daily closing price data of the Indonesia Stock Exchange Composite Index (JCI). The result of this study is that there is a relationship between risk premium and volatility in the Indonesian stock market. This study's conclusion is to test whether there is a relationship between the volatility of return and risk premium in the Indonesian stock market. Using the daily trend of the Indonesian stock market (IDX) from January 2010 to September 2023. [ABSTRACT FROM AUTHOR]