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All Journal Jurnal Ekonomi, Bisnis dan Manajemen
Arya Mardhani Syaputra
Universitas Negeri Surabaya
Economics, Econometrics & Finance

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Prediksi Harga NASDAQ Composite Menggunakan Model Arima dan Implikasinya terhadap Pembacaan Tren Sektor Teknologi Periode 2015-2025 Arya Mardhani Syaputra; Achmad Fitro
Jurnal Ekonomi, Bisnis dan Manajemen Vol. 5 No. 3 (2026): Jurnal Ekonomi, Bisnis dan Manajemen (EBISMEN)
Publisher : FEB Universitas Maritim Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.58192/ebismen.v5i3.4529

Abstract

This study forecasts the monthly closing values of the NASDAQ Composite Index for 2015-2025 using the ARIMA model and examines its implications for reading technology sector trends. The research is based on NASDAQ’s role as an index that widely represents technology-related companies and is contextually associated with digitalization, interest rate changes, the COVID-19 pandemic, and artificial intelligence developments. This study applies a quantitative univariate time series approach using the Box-Jenkins procedure, including log transformation, Augmented Dickey-Fuller (ADF) stationarity testing, ACF-PACF identification, AIC/BIC-based model selection, parameter estimation, residual diagnostics, and accuracy evaluation using MAE, MSE, RMSE, and MAPE. The results show that ARIMA(0,1,0) with drift follows the general direction of NASDAQ Composite movements with a MAPE of 12.21%, indicating good forecasting accuracy. However, the model tends to underestimate sharp upward movements and is better interpreted as a random walk with weak positive drift. Contextually, NASDAQ Composite movements can be read as part of technology and digital economy dynamics. Thus, ARIMA offers a simple, transparent, and replicable framework, while sectoral interpretations remain contextual and non-causal.
Co-Authors Achmad Fitro