Forecasting the Weekly Stock Price of PT United Tractors Tbk (UNTR) using ARIMA Box-Jenkins Method

Ni Kadek Gita Maharani, Edwin Setiawan Nugraha

Abstract


PT United Tractors Tbk (UNTR) is a leading distributor of heavy equipment in Indonesia, established on October 13, 1972. Since September 19, 1989, United Tractors has become a public company by listing its shares on the Indonesia Stock Exchange. The company runs its business through 5 business units, including construction machinery, mining contractors, mining, construction industry, and energy. Various theories and analyses exist to forecast stock prices, aiding investors in making informed decisions when managing stock portfolios. In this investigation, ARIMA (p, d, q) technical analysis is employed to forecast the stock price of PT United Tractors Tbk for the ensuing 5 weeks, spanning from April 3, 2023, to May 1, 2023. Utilizing historical stock price data from April 04, 2022, to March 27, 2023, sourced from the Yahoo Finance website, researchers conduct the forecasting process. Following evaluations of 6 ARIMA models, the optimal model identified is ARIMA (1,2,1). This model is deemed superior due to its minimal with Mean Squared Error (MSE) value of 6024701.711, smallest Root Mean Squared Error (RMSE) value of 2454.526779, Mean Absolute Error (MAE) value of 1819.644, and smallest Mean Absolute Percentage Error (MAPE) value of 7%

Keywords


ARIMA; forecasting; PT United Tractors Tbk; stock price

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References


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