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Articles
DOI: 10.29303/emj.v7i1.174
Submitted: 2023-07-12
Published: 2024-04-07

The ARIMA-GARCH Method in Case Study Forecasting the Daily Stock Price Index of PT. Jasa Marga (Persero)

Universitas Muhammadiyah Semarang
Universitas Muhammadiyah Semarang
Universitas Muhammadiyah Semarang
Universitas Muhammadiyah Semarang
Universitas Muhammadiyah Semarang
Autoregressive Integrated Moving Average (ARIMA) Generalized Autoregressive Conditional Heteroskedasticity (GARCH) stock prices PT Jasa Marga

Abstract

PT Jasa Marga is a large company in Indonesia that develop and operation the toll roads and is known as one of the blue chip companies with LQ45 shares. However, share prices have high volatility or rise and fall quickly so their value is always changing. Therefore, forecasting is needed to predict the share price of PT Jasa Marga in the future in order to know the movement of its share price. The Autoregressive Integrated Moving Average (ARIMA) method is a method that can predict data with high volatility, but has the disadvantage of residuals containing heteroscedasticity. So, the addition of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model was carried out to overcome the heteroscedasticity problem that was initially caused by the ARIMA model so it could predict data with high volatility more optimally. Therefore, this research applies the ARIMA-GARCH method to find the best model for forecasting the daily share price index of PT Jasa Marga. The data used comes from the daily closing stock price index of PT Jasa Marga (Persero) for the period January 2015 to May 2023. The measurement of forecasting accuracy uses the Mean Absolute Percentage Error (MAPE). The forecasting results show that the best model uses ARIMA (2,1,1) - GARCH (1,3) with a MAPE value of 6.825728%, which indicates very good forecasting results because the MAPE value is <10%.

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How to Cite

Amri, I. F., Wulan Sari, Widyasari, V. A., Nurohmah, N., & Haris, M. A. (2024). The ARIMA-GARCH Method in Case Study Forecasting the Daily Stock Price Index of PT. Jasa Marga (Persero). EIGEN MATHEMATICS JOURNAL, 7(1), 25–33. https://doi.org/10.29303/emj.v7i1.174