PERAMALAN HARGA SAHAM HARIAN ACSET INDONUSA TBK (ACST) MENGGUNAKAN MODEL ARIMA DAN ARCH-GARCH
DOI:
https://doi.org/10.31004/joecy.v6i1.8630Keywords:
Stock price forecasting, ARIMA, ARCH-GARCH, Capital market, PT ACSET Indonusa Tbk, Peramalan Harga Saham, ARIMA, ARCH-GARCH, Pasar modal, PT ACSET Indonusa TbkAbstract
This study aims to forecast the daily stock price of PT ACSET Indonusa Tbk (ACST) using a combination of ARIMA and ARCH-GARCH models. The ARIMA model is used to capture short-term movement patterns, while the ARCH-GARCH model is used to analyze volatility that appears in financial data. The data used are daily stock prices from the Indonesia Stock Exchange (IDX). The results show that the best models are ARIMA(1,1,1) and GARCH(2,2) with the smallest AIC, SC, and HQ values. The forecasting accuracy reaches 76.75%, indicating that the ARIMA-GARCH combination is accurate for predicting stock prices with high volatility. This study provides benefits for investors and academics in understanding stock price movements and supporting more appropriate investment decision-making.
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