  This study was conducted to find an appropriate statistical model to forecast
the volatilities of PSEi using the model Generalized Autoregressive Conditional
Heteroskedasticity (GARCH). Using the R software, the log returns of PSEi is
modeled using various ARIMA models and with the presence of heteroskedasticity,
the log returns was modeled using GARCH. Based on the analysis, GARCH models
are the most appropriate to use for the log returns of PSEi. Among the selected
GARCH models, GARCH (1,2) has the lowest AIC value and also has the highest LL
value implying that GARCH (1,2) is the best model for the log returns of PSEi.
