The Application of the Arima Box-Jenkins Method on Forecasting the Monthly Closing Stock Price per Share of Jakarta Stock Exchange (JKSE)

Abstract

Jakarta Stock Exchange (JKSE) or Indonesia Composite Index (ICI) measures the overall listed stock prices on the Indonesia Stock Exchange. This study aims to provide the closing stock price forecast of the monthly JKSE closing price per share from March 1st, 2022 to March 1st, 2023, using the ARIMA Box-Jenkins method, and compare the accuracy of forecasting 12 months of the dataset with forecasting 6 months of the dataset. The study contributes to the body of knowledge on stock market forecasting and provides investors with valuable information to make informed investment decisions. The study has found the best model to use is ARIMA(1,2,1) which is considered as the best model since it satisfies both Saphiro and L-jung box test, as well as having the lowest AIC among all of the models. This study also shows that its accuracy will be better by forecasting less ahead to the future. Whereby forecasting 12 months ahead resulted to 124817.291 MSE, 353.295 RMSE, 1428221815 MAE, and 4.265 MAPE. Meanwhile, forecasting 6 months ahead resulted to 34385.384 MSE, 185.433 RMSE, 1415348102 MAE, and 2.206 MAPE. The study contributes to the body of knowledge on stock market forecasting and provides investors with valuable information to make informed investment decisions.