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All Journal SITEKIN: Jurnal Sains, Teknologi dan Industri
ESM Nababan
Universitas Sumatera Utara
Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Industrial & Manufacturing Engineering Other

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Forecasting The Share Price of PT Merdeka Copper Gold Tbk By Using Arch-Garch Model Ananda Nabilah Faisal; ESM Nababan; Sutarman Sutarman; Parapat Gultom
SITEKIN: Jurnal Sains, Teknologi dan Industri Vol 20, No 2 (2023): June 2023
Publisher : Fakultas Sains dan Teknologi Universitas Islam Negeri Sultan Syarif Kasim Riau

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24014/sitekin.v20i2.22704

Abstract

This study aims to obtain a forecasting model and compare PT Merdeka Copper Gold Tbk share price using the time series method, ARCH-GARCH model. The data used is historical data for the period December 2021 – December 2022. The initial steps are the stationarity test, identifying the ARIMA model, and checking the heteroscedasticity effect of the best ARIMA model. Then from this model, identify the ARCH-GARCH model. After the model has been formed, compare those models that have been assumed by using the smallest AIC and SBC values and checking the model's heteroscedasticity effect. The last step is forecasting for January 2023 using GARCH (1,0). The equation is . 
Co-Authors Ananda Nabilah Faisal Parapat Gultom Sutarman Sutarman