ARIMA Model and Holt Winters Seasonal Smoothing Accuracy for Stock Price Prediction

Agus Sofian Eka Hidayat, Putu Darmawan

Abstract


One way to generate capital is by investments in the capital market, with the expectation that this money will increase in tandem with an issuer's stock price. In the past few decades, technology for communication and information has developed incredibly quickly, followed by the introduction of 5G, which boosts data transfer rates. This study intends to compare the accuracy of SARIMA and HOLTS WINTER SEASONAL SMOOTHING in predicting the price of TLKM. The SARIMA (1, 1, 1) x (0, 1, 1) 52 model outperforms Holt's Winter Seasonal Smoothing with a 3% MAPE in terms of forecasting TLKM stock price data

Keywords


forecasting; time series; Holt’s Winter Seasonal Smoothing; Seasonal ARIMA; TLKM

Full Text:

PDF

References


Pasar Modal Seri Literasi Perguruan Tinggi, Otoritas Jasa Keuangan dan Industri Jasa Keuangan, Indonesia, 2016

Mufidah, Eva, “Analisis Laba, Arus Kas Operasi dan Nilai Buku Ekuitas terhadap Harga Sahamâ€, Jurnal Riset Ekonomi dan Bisnis, vol. 12, no. 1. 2017

Herman, R. & Rahma, H. (2012) Mengenal dan Memahami Pasar Modal. Multi Kreasi Satudelapan. Jakarta Barat.

Telkom Indonesia. (2021, April 23). Profil dan Riwayat Singkat. Retrieved from telkom.co.id: https://www.telkom.co.id/sites/about-telkom/id_ID/page/profil-dan-riwayat-singkat-22

Montgomery, D. C., Jennings, C. L., & Kulahci, M. (2015). Introduction to time series analysis and forecasting. N.J: Wiley-Interscience.

Brownlee, Jason. (2017). Introduction to Time Series Forecasting with Python: How to Prepare Data and Develop Models to Predict the Future. Machine Learning Mastery

Lazzeri, Francesca. (2020). Machine learning for time series forecasting with Python. John Wiley & Sons, Inc.

Box, G.E.P., G.M. Jenkins., G.C. Reinsel and G.M. Ljung. (2016). Time Series Analysis, Forecasting and Control 5th Edn, John Wiley & Sons, Inc

Kibunja, Hellen W. dkk., “Forecasting Precipitation Using SARIMA Model: A Case Study of Mt. Kenya Regionâ€, Mathematical Theory and Modelling, vol. 4, no. 11. 2014

P Kalekar Time series forecasting using Holt-Winters exponential smoothing Kanwal Rekhi Sch. Inf. Technol. 4329008 pp. 1–13




DOI: http://dx.doi.org/10.33021/jafrm.v2i1.4521

DOI (PDF): http://dx.doi.org/10.33021/jafrm.v2i1.4521.g1580

Refbacks

  • There are currently no refbacks.