Forecasting the Weekly Stock Price of PT. Bank Negara Indonesia Tbk (BBNI) Using ARIMA Model

Tania Oktavionabila Kurniawan

Abstract


This study forecast weekly stock price of PT. Bank Negara Indonesia Tbk (BBNI) by applying the ARIMA model using Box-Jenkins method. The data used from March 5, 2023 – May 5, 2024 with 61 data observations, 57 data for training and 4 data for testing. The Box-Jenkins method determined the ARIMA (2,2,0) to be selected after second differencing and passed the residual test (Shapiro and Ljung test). This model resulting the best model with the lowest values of MAPE 1.72%, MSE 8901.2517, RMSE 94.346445, and MAE 83.94. The results show that ARIMA is effective for short-term stock price predictions. This study provides valuable insights for investors while recognizing the limitations in considering external market factors. The future research can also explore the combination of ARIMA with other forecasting techniques.

Keywords


stock price; Box Jenkins method; time series; ARIMA; forecasting

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DOI: http://dx.doi.org/10.33021/jafrm.v4i2.6336

DOI (PDF): http://dx.doi.org/10.33021/jafrm.v4i2.6336.g2408

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