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Journal : bit-Tech

Analisis Peramalan IHSG Menggunakan Model ARIMA-ARCH untuk Mengatasi Efek Heteroskedastisitas Adinda, Nadia Puspita; Salamy, Fairuz Izzaty; Subagyo, Salsabilla Fatika; Sari, Dewi Puspita; Zuhdi, Shaifudin
bit-Tech Vol. 8 No. 3 (2026): bit-Tech
Publisher : Komunitas Dosen Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32877/bt.v8i3.3515

Abstract

The Indeks Harga Saham Gabungan (IHSG) is widely recognized as a central indicator of the Indonesian capital market and reflects overall market performance, investor sentiment, and macroeconomic conditions. Accurate forecasting of the IHSG is essential for investors, financial institutions, and policymakers; however, financial time series data are often characterized by non-stationarity and volatility clustering, which limit the effectiveness of conventional forecasting models. This study applies a hybrid Autoregressive Integrated Moving Average–Autoregressive Conditional Heteroskedasticity (ARIMA–ARCH) model to forecast the IHSG by simultaneously modeling the conditional mean and time-varying volatility. The ARIMA model is used to capture linear temporal dependence in the mean process, while the ARCH component addresses heteroskedasticity in the residuals by allowing conditional variance to change over time. Daily IHSG closing price data from September 2024 to September 2025 are analyzed using the Box–Jenkins methodology, including stationarity analysis, model selection, parameter estimation, and diagnostic validation. The empirical results indicate that the hybrid ARIMA–ARCH model provides improved forecasting accuracy compared to a standalone ARIMA model, particularly in periods of heightened market volatility. The ARCH component successfully captures volatility clustering and enables the construction of dynamic volatility-based prediction intervals, offering additional risk-related insights beyond point forecasts. These findings demonstrate that the ARIMA–ARCH framework is effective for modeling IHSG dynamics and can support better risk management, portfolio optimization, and decision-making processes in the Indonesian capital market.
Co-Authors ,, Hasriani ,, Irpan Abdul Muis Adinda, Nadia Puspita Affrilyno, Affrilyno Afifah, Ismi Nur Agung Santoso Pribadi Ahmad Syar’i Aisyah, Intan Nur Akbar Teguh Prakoso Alanindra Saputra Ali Ridho Allima, Nur Amining Rahmasiwi Amrifan Saladin Mohruni Ananda, Reza Dwi Andi Lukman Irwan Aneka Firdaus Angraheni, Putri Yufi Apri Wiyono Ardaniyati, Lisa Ardaniyati Ariani, Malisa Arianto, Kezia Jazzlyn Arifin, Ghaniyah Geulis Arwati, Sitti Assyaifi, Zaini L Astuti - Aufa, Rafif Adhyasta Azaria Aurynisa, Mareta aziz, ari rahmat Aziz, Subhan Abdul Azizah, Sofhia Aulia Putri Baehaqi Barzah, Ahmad Alfarizi Baskoro Adi Prayitno Cahayani, Gadis Cahya, Novia Dwi Costa, Anthony Dahlia, Resita Sekar Darmawang, Darmawang Dendy Adanta Desi Wulandari, Desi DEWI SARTIKA Dewi, Diah Puspita Dila Nadya Andini Djoko Setyanto Edi Setiyo Edy Soesanto Ega Taqwali Berman Fadhli, Mochamad Ariq Faisal Faisal Fanny Nailufar Farhaby, Arthur M Farniati, Farniati Fathul Jannah, Fathul Fatmawati Fatmawati Febrina, Ananda Martiza Ferizal, Jemi Gani, Hamsu Abdul Gultom, Bontor Jumaylinda Br Gusmalinda Gusmara, Herry Gusti Yuli Asih Haikal Haikal Halisa, Halisa Halisa, Nely Nur Halizah, Siti Nur Haqqani, Ali Akbar harlin, harlin Harlita Harlita Hasan Basri Heni Pujiastuti Heriyanto, Imam Hidayat, Anugerah Hj. Latifah Humairoh Imam Wahyudi Indrawan, Imam Wahyudi Irawan Budi Susilo, Markus Nanang Irsyadi Yani Irwan Desyantoro Izak Jakobis Makulua Izzati, Helga Rahma Juniagis, Berlianda Kamin Sumardi Khaeruddin Khaeruddin Khairil Anwar Khairul Amri Komala sari, Komala Latifah, Hayatun Lestari, Januarti Dwi Lestari, Mardiana Puji M TAUFIQ Maheswari, Desinta Mahmud Mahmud Manto, Onieqie Ayu Dhea Marhayati Maridi Maridi Marwani Marwani, Marwani Maulida, Wildatul Megawati, Imelda Meldianto, Efri Meti Indrowati Mihrani Mihrani Mito, Mito Mochamad Amri Santosa Muhammad Ilham Muhammad Yanis Munir, Usman Mutaufiq, Mutaufiq Muthia Elma Nastasya, Difa Nito, Paul Joae Brett Nova Yuliasari Novandito, Lucky Nurlinah Nurlinah, Nurlinah Nurul Huda Ongky Alexander Padya, Handini Nara Patang Patang, Patang Prameswari, Thesa Pratiwi, Elsa Nadia Priratmaningtyas, Ika Wahyu Purnomo, Desri Naya Dewi Purwati, Rani Putra, I Made Adre Udayana Putri, Nabila Rahmawati Putri, Thania Alfathya Putricia, Alyssa Salma R. Dia, R. Dia Rahayu, Windy Lavenia Rahma, Aulia Ramli, Hartini Rampun, Erdina Lulu Atika Reizky Maharani Renata, Elin Rezki, Mita Riani Riska Ardhya Saraswati Ristiana, Evi Rita Rahmaniati Rosmiati, Mia Rudi Hermawan Rudi Hermawan Rusali, Fahria Rusydi, Lina Najwatur S, Bilman Wilman Sabela, Windari Sabillah, Lintang Asri Sadsyam, Sriyanty Safitri, Dwi Yani Salamy, Fairuz Izzaty Salsabhilla, Ericca Dwi Sampe, Prisca Diantra Saputra, M. A. Ade sarinda Satwika, Quinne Eannatum Setiadi, Geri Sholihin, Imam Ahmad Simanjuntak, Rexon Harris Slamet Santosa Sobri, Irwan Mohd Sormin, Nurhidayati Sri Sumaryati Sri Widoretno Sri Widyawati Subagyo, Salsabilla Fatika Sugandi, Sugandi Sutarno, Maryati Suwarno Suwarno Syakur, Abdan Habib Syira, Syahdina Damayari syofii, imam Tiara, Tiara Tri Astuti Triamelia, Cristine Roselvia UMI FATMAWATI Uswatun Hasanah Wadirin, Wadirin Wahyu Adi Wahyu Adi Wahyuni, Hati Sri Wisda Zulaeha Suwardi Wisnu Widiarto Yadi, Farhan Yamini, Era Agustina Yulia Fitriani, Yulia Yulia Resti Yundari, Yundari Yuniarti Hidayah Suyoso Putra Yusel, Mayse Shaella Yusfanita, Intan Audi Zanti, Wahdini Putri Zuhdi, Shaifudin