Comparison of black-scholes models using historical volatility and garch volatility in collar strategy as hedging efforts for towr and tbig stocks

https://doi.org/10.35912/ijamis.v1i2.3043
Published: Jun 11, 2025

Abstract:

Purpose: This study aims to examine the implementation of option contracts using the Black-Scholes model with Historical Volatility and GARCH Volatility through a collar strategy, as a means of protecting stock value in the telecommunications sector. The research focuses on managing risk in stock investments, particularly for TOWR and TBIG stocks, in both crisis and non-crisis conditions.

Research methodology: The study applies the Black-Scholes model using two types of volatility—Historical and GARCH—within a collar strategy framework to evaluate its effectiveness in mitigating risks associated with TOWR and TBIG stocks under varying market conditions.

Results: For TOWR stocks, GARCH performs better in non-crisis conditions with three-month maturity, while Historical Volatility is superior in some shorter-maturity scenarios under both market conditions. For TBIG stocks, GARCH outperforms in all crisis scenarios with three-month maturity, whereas Historical Volatility leads in certain stable, short-term conditions.

Conclusion: The effectiveness of volatility methods in the Black-Scholes model depends on stock type, market conditions, and maturity, with GARCH better for high volatility and longer terms, while Historical suits stable, short-term scenarios.

Limitation: The study is limited to two telecommunications stocks and does not include empirical testing using live trading data, which could provide deeper validation of the proposed strategies.

Contribution: This research contributes to the understanding of how investment strategies like collar options can be optimized using appropriate volatility models. Investment involves the allocation of money or capital with the aim of gaining profit.

Keywords:
1. Black-Scholes
2. Collar
3. GARCH Volatility
4. Historical Volatility
5. Option Contract
Authors:
1 . Brady Rikumahu
Telkom University, Bandung,Indonesia
2 . Mu’arif Fandhi Akhmad
Telkom University, Bandung,Indonesia
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How to Cite
Rikumahu, B., & Akhmad, M. F. (2025). Comparison of black-scholes models using historical volatility and garch volatility in collar strategy as hedging efforts for towr and tbig stocks. International Journal of Accounting and Management Information Systems, 1(2), 143–161. https://doi.org/10.35912/ijamis.v1i2.3043
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Issue & Section
Vol. 1 No. 2 (2023): August
Articles
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This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

References

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    Basson, L., Van den Berg, L., & Van Vuuren, G. (2018). Performance of Two Zero-Cost Derivative Strategies Under Different Market Conditions. Cogent Economics & Finance, 6(1), 1-17. doi:https://doi.org/10.1080/23322039.2018.1492893

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    Engle, R. F., & Bollerslev, T. (1986). Modelling the Persistence of Conditional Variances. Econometric reviews, 5(1), 1-50. doi:https://doi.org/10.1080/07474938608800095

    Eun, J. (2010). Public Accountability in Collaborative Governance: Lessons from Korean Community Centers. Korean Journal of Policy Studies, 25(1), 143-173. doi:https://doi.org/10.52372/kjps25110

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    Hendrawan, R., & Arifin, Z. (2023). Comparison of Black-Scholes and GARCH Option Models on The Jakarta Islamic Index with Collar Strategy. Journal of Finance & Banking Review (JFBR), 7(4), 16-27. doi:https://doi.org/10.35609/jfbr.2023.7.4(2)

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    Lee, S., & Kim, K. (2015). Collar Option Model for Managing the Cost Overrun Caused by Change Orders. Sustainability, 7(8), 10649-10663. doi:https://doi.org/10.3390/su70810649

    Mas’adah, A., Asngadi, A., & Hirmantono, A. (2021). Strategi Pemasaran UMKM di Masa Pandemi Covid-19: Studi Kasus UMKM di Kawasan Pondok Pesantren Darul’Ulum Jombang. Jurnal Bisnis dan Pemasaran Digital, 1(1), 43-48. doi:https://doi.org/10.35912/jbpd.v1i1.452

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    Suharto, & Yuliansyah. (2023). The Influence of Customer Relationship Management and Customer Experience on Customer Satisfaction. Integrated Journal of Business and Economics, 7(1), 403-417. doi:http://dx.doi.org/10.33019/ijbe.v7i1.641

    Syarif, A., & Riza, K. (2022). Pengaruh Kepemimpinan Transformasional, Disiplin Kerja dan Komunikasi Terhadap Kinerja Pegawai pada Dinas Pendidikan Kepulauan Riau. Jurnal Humaniora dan Ilmu Pendidikan, 2(1), 33-41. doi:https://doi.org/10.35912/jahidik.v2i1.1664

    Syarif, A., Rumengan, J., & Gunawan, D. (2021). The Influence of Locus of Control, Self Efficacy and Discipline of Work, Job Satisfaction on Work Motivation in the Hj Bunda Halimah Hospital Batam. IAIC International Conference Series, 3(2), 42-50. doi:https://doi.org/10.34306/conferenceseries.v3i2.461

    Yahya, & Yani, D. A. (2023). Pengaruh Pengembangan Sumber Daya Manusia dan Motivasi Kerja terhadap Kinerja Pegawai pada Kantor Kelurahan Blambangan Umpu Kecamatan Blmbangan Umpu. Jurnal Relevansi: Ekonomi, Manajemen dan Bisnis, 7(1), 39-50. doi:https://doi.org/10.61401/relevansi.v7i1.81

  1. Afifah, T. E., Hasanah, N., & Irfany, M. I. (2023). Testing the Efficient Market Hypothesis with Indonesian Islamic Stocks During the Covid-19 Pandemic. Annals of Management and Organization Research, 4(3), 175-191. doi:https://doi.org/10.35912/amor.v4i3.1621
  2. Basson, L., Van den Berg, L., & Van Vuuren, G. (2018). Performance of Two Zero-Cost Derivative Strategies Under Different Market Conditions. Cogent Economics & Finance, 6(1), 1-17. doi:https://doi.org/10.1080/23322039.2018.1492893
  3. Capi?ski, M., & Kopp, E. (2012). The Black–Scholes Model. Cambridge: Cambridge University Press.
  4. Engle, R. F., & Bollerslev, T. (1986). Modelling the Persistence of Conditional Variances. Econometric reviews, 5(1), 1-50. doi:https://doi.org/10.1080/07474938608800095
  5. Eun, J. (2010). Public Accountability in Collaborative Governance: Lessons from Korean Community Centers. Korean Journal of Policy Studies, 25(1), 143-173. doi:https://doi.org/10.52372/kjps25110
  6. Hardianti, N. I., & Widarjono, A. (2017). Dampak Penerbitan Sukuk dan Obligasi Konvensional Terhadap Return Saham Perusahaan di Indonesia. Jurnal Ekonomi & Keuangan Islam, 3(1), 43-51. doi:https://doi.org/10.20885/jeki.vol3.iss1.art6
  7. Hendrawan, R., & Arifin, Z. (2023). Comparison of Black-Scholes and GARCH Option Models on The Jakarta Islamic Index with Collar Strategy. Journal of Finance & Banking Review (JFBR), 7(4), 16-27. doi:https://doi.org/10.35609/jfbr.2023.7.4(2)
  8. Hendrawan, R., Laksana, G. T., & Aminah, W. (2020). Can The IDX Be Hegded?: Comparison of Black Scholes Option Model and Garch Option Model Using Long Strangle Strategy. Jurnal Manajemen Indonesia, 20(3), 252-259. doi:https://doi.org/10.25124/jmi.v20i3.3521
  9. Isynuwardhana, D., & Surur, G. N. I. (2018). Return Analysis on Contract Option Using Long Straddle Strategy and Short Straddle Strategy with Black Scholes. International Journal of Academic Research in Accounting, Finance and Management Sciences, 8(4), 16-20. doi:https://doi.org/10.6007/ijarafms/v8-i4/5181
  10. Lee, S., & Kim, K. (2015). Collar Option Model for Managing the Cost Overrun Caused by Change Orders. Sustainability, 7(8), 10649-10663. doi:https://doi.org/10.3390/su70810649
  11. Mas’adah, A., Asngadi, A., & Hirmantono, A. (2021). Strategi Pemasaran UMKM di Masa Pandemi Covid-19: Studi Kasus UMKM di Kawasan Pondok Pesantren Darul’Ulum Jombang. Jurnal Bisnis dan Pemasaran Digital, 1(1), 43-48. doi:https://doi.org/10.35912/jbpd.v1i1.452
  12. Parela, E., Hudalil, A., Ariswandy, D., & Pradana, M. R. A. (2022). Pengaruh Pengembangan Kompetensi dan Pengembangan Kompetensi terhadap Budaya Kerja Pegawai pada Kantor Kecamatan Semaka Kabupaten Tanggamus. Jurnal Relevansi: Ekonomi, Manajemen dan Bisnis, 6(1), 35-46. doi:https://doi.org/10.61401/relevansi.v6i1.76
  13. Premananda, N. L. P. U., & Risadi, M. Y. (2023). Magic Formula: Sebuah Tinjauan dalam Prediksi Perusahaan-Perusahaan Unggulan di Indonesia. Jurnal Akuntansi, Keuangan, dan Manajemen, 4(2), 87-99. doi:https://doi.org/10.35912/jakman.v4i2.1293
  14. Rahmawati, Y., & Hadian, H. N. (2022). The Influence of Debt Equity Ratio (DER), Earning Per Share (EPS), and Price Earning Ratio (PER) on Stock Price. International Journal of Financial, Accounting, and Management, 3(4), 289-300. doi:https://doi.org/10.35912/ijfam.v3i4.225
  15. Rumengan, J., Syarif, A., Rumengan, A. E., & Wibisono, M. R. C. (2020). The Effect Work Autonomy, Feedback, Responsibility, and Work Knowledge on the Work Motivation of Employees at Batam University with Partial Least Square (PLS). Talent Development & Excellence, 12(1), 1647-1655.
  16. Shettima, M., Abdussalam, Y., & Olayinka, A. A. (2023). Effect of Naira/Us Dollar Exchange Rate Volatility on the Performance of the Stocks Market in Nigeria. Annals of Management and Organization Research, 4(4), 297-307. doi:https://doi.org/10.35912/amor.v4i4.1695
  17. Suaduon, J., Syarif, A., & Nugraha, A. P. (2020). An Evaluation of the Human Resource Performance of Public Health Service Unit: A Case Study of Community Health Centers in Batam. Asia Proceedings of Social Sciences, 6(3), 199-203. doi:https://doi.org/10.31580/apss.v6i3.1299
  18. Suharto, Japlani, A., & Ali, K. (2021). Pengukuran Minat Berwirausaha Menggunakan Self Efficacy, Lingkungan dan Pendidikan Kewirausahaan pada Mahasiswa FEB Universitas Muhammadiyah Metro. Jurnal Bisnis Darmajaya, 7(1), 52-69. doi:https://doi.org/10.30873/jbd.v7i1.2608
  19. Suharto, Ningsih, N., & Ali, K. (2022). Pengendalian Kerusakan Produk pada Industri Rumahan Mitra Keluarga Kabupaten Lampung Timur. Derivatif: Jurnal Manajemen, 16(2), 351-361. doi:https://doi.org/10.24127/jm.v16i2.1138
  20. Suharto, & Yuliansyah. (2023). The Influence of Customer Relationship Management and Customer Experience on Customer Satisfaction. Integrated Journal of Business and Economics, 7(1), 403-417. doi:http://dx.doi.org/10.33019/ijbe.v7i1.641
  21. Syarif, A., & Riza, K. (2022). Pengaruh Kepemimpinan Transformasional, Disiplin Kerja dan Komunikasi Terhadap Kinerja Pegawai pada Dinas Pendidikan Kepulauan Riau. Jurnal Humaniora dan Ilmu Pendidikan, 2(1), 33-41. doi:https://doi.org/10.35912/jahidik.v2i1.1664
  22. Syarif, A., Rumengan, J., & Gunawan, D. (2021). The Influence of Locus of Control, Self Efficacy and Discipline of Work, Job Satisfaction on Work Motivation in the Hj Bunda Halimah Hospital Batam. IAIC International Conference Series, 3(2), 42-50. doi:https://doi.org/10.34306/conferenceseries.v3i2.461
  23. Yahya, & Yani, D. A. (2023). Pengaruh Pengembangan Sumber Daya Manusia dan Motivasi Kerja terhadap Kinerja Pegawai pada Kantor Kelurahan Blambangan Umpu Kecamatan Blmbangan Umpu. Jurnal Relevansi: Ekonomi, Manajemen dan Bisnis, 7(1), 39-50. doi:https://doi.org/10.61401/relevansi.v7i1.81