ARIMA Model in Predicting Jakarta Composite Index

dc.contributor.author	Haerani, Shafa Luthfia Sari
dc.contributor.author	Edwin Setiawan Nugraha
dc.date.accessioned	2023-04-18T07:16:16Z
dc.date.available	2023-04-18T07:16:16Z
dc.date.issued	2022
dc.identifier.uri	http://repository.president.ac.id/xmlui/handle/123456789/11217
dc.description	Journal of Actuarial, Finance and Risk Management (JAFRM) Vol. 1(1), June, 2022. p. 27-35.	en_US
dc.description.abstract	This study discusses stock price modeling using ARIMA model. We apply to model to the Jakarta Composite Index (JCI) as it represents all stock performances listed in Indonesia Stock Exchange. In this study, we propose several ARIMA models based on the daily from June 10th, 2019 until December 6th, 2019. The parameters among the models are estimated by using RStudio. We chose the best model by considering its AIC and RMSE. The best model that is ARIMA (21, 1, 2) with 99% confidence interval. This model is then used to predict the next 15 days (December 09, 2019 to January 02, 2020).	en_US
dc.language.iso	en_US	en_US
dc.publisher	JAFRM	en_US
dc.subject	ARIMA	en_US
dc.subject	Forecasting	en_US
dc.subject	Jakarta Composite Index	en_US
dc.subject	Time Series Analysis	en_US
dc.title	ARIMA Model in Predicting Jakarta Composite Index	en_US
dc.type	Article	en_US