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All Journal BAREKENG: Jurnal Ilmu Matematika dan Terapan M A T H L I N E : Jurnal Matematika dan Pendidikan Matematika Indonesian Journal of Electrical Engineering and Computer Science Jambura Journal of Biomathematics (JJBM) Aceh International Journal of Science and Technology
Endar Hasafah Nugrahani
Mathematics Department, Bogor Agricultural University
Agriculture, Biological Sciences & Forestry Chemical Engineering, Chemistry & Bioengineering Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance Education Energy Engineering Mathematics Mechanical Engineering Physics Transportation

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Journal : M A T H L I N E : Jurnal Matematika dan Pendidikan Matematika

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Forecasting Stock Price Using Armax-Garchx Model During The Covid-19 Pandemic Parwati, Lusiana Sani; Nugrahani, Endar Hasafah; Budiarti, Retno
Mathline : Jurnal Matematika dan Pendidikan Matematika Vol. 8 No. 2 (2023): Mathline: Jurnal Matematika dan Pendidikan Matematika
Publisher : Universitas Wiralodra

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31943/mathline.v8i2.413

Abstract

The Covid-19 pandemic, which was proclaimed by the World Health Organization (WHO) on March 2020, has impacted stock risk on the capital market. Stock price forecasting can be used to provide future stock projection prices in order to reduce risk. The ARMA GARCH model and its development model can forecast stock prices by incorporating exogenous factors such as the ARMAX GARCH, ARMA GARCHX, and ARMAX GARCHX models. PT Mitra Keluarga Karyasehat Tbk's stock price is analyzed in this study, along with the exogenous factors of total daily positive cases and total daily fatalities cases of Covid-19 from March 16, 2020, to January 31, 2022.The results of several models show that based on MAPE value the ARMAX GARCH model has better accuracy in forecasting stock price.
Co-Authors Asmaidi Asmaidi Blante, Trianty Putri Jaharuddin Najib, Mohamad Khoirun Paian Sianturi Parwati, Lusiana Sani Resmawan Resmawan Retno Budiarti Sri Nurdiati Sriwahyuni, Lilis Sukmana, Ihwan