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All Journal EKSAKTA: Journal of Sciences and Data Analysis JURNAL MATEMATIKA STATISTIKA DAN KOMPUTASI Unisda Journal of Mathematics and Computer Science (UJMC) Jurnal Pengembangan Rekayasa dan Teknologi EIGEN MATHEMATICS JOURNAL Square : Journal of Mathematics and Mathematics Education Jurnal Statistika dan Aplikasinya JAMBURA JOURNAL OF PROBABILITY AND STATISTICS LOSARI: Jurnal Pengabdian Kepada Masyarakat Journal Of Human And Education (JAHE) Fraction: Jurnal Teori dan Terapan Matematika Journal Focus Action of Research Mathematic (Factor M) Journal of Data Insights Jurnal Pengabdian Masyarakat dan Riset Pendidikan Parameter: Jurnal Matematika, Statistika dan Terapannya Emerging Statistics and Data Science Journal Amalgamasi: Journal of Mathematics and Applications Scientific Journal of Computer Science
Ihsan Fathoni Amri
Universitas Muhammadiyah Semarang
Agriculture, Biological Sciences & Forestry Humanities Chemical Engineering, Chemistry & Bioengineering Chemistry Civil Engineering, Building, Construction & Architecture Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Environmental Science Health Professions Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Library & Information Science Materials Science & Nanotechnology Mathematics Mechanical Engineering Physics Public Health Social Sciences Transportation Other

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The ARIMA-GARCH Method in Case Study Forecasting the Daily Stock Price Index of PT. Jasa Marga (Persero) Ihsan Fathoni Amri; Wulan Sari; Velia Arni Widyasari; Nufita Nurohmah; M. Al Haris
Eigen Mathematics Journal Vol 7 No 1 (2024): June
Publisher : University of Mataram

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29303/emj.v7i1.174

Abstract

PT Jasa Marga is a large company in Indonesia that develop and operation the toll roads and is known as one of the blue chip companies with LQ45 shares. However, share prices have high volatility or rise and fall quickly so their value is always changing. Therefore, forecasting is needed to predict the share price of PT Jasa Marga in the future in order to know the movement of its share price. The Autoregressive Integrated Moving Average (ARIMA) method is a method that can predict data with high volatility, but has the disadvantage of residuals containing heteroscedasticity. So, the addition of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model was carried out to overcome the heteroscedasticity problem that was initially caused by the ARIMA model so it could predict data with high volatility more optimally. Therefore, this research applies the ARIMA-GARCH method to find the best model for forecasting the daily share price index of PT Jasa Marga. The data used comes from the daily closing stock price index of PT Jasa Marga (Persero) for the period January 2015 to May 2023. The measurement of forecasting accuracy uses the Mean Absolute Percentage Error (MAPE). The forecasting results show that the best model uses ARIMA (2,1,1) - GARCH (1,3) with a MAPE value of 6.825728%, which indicates very good forecasting results because the MAPE value is <10%.
Forecasting the Volatility of Tuna Fish Prices in North Sumatra using the ARCH Method in the Period January - April 2024 Riska Multiyaningrum; Ihsan Fathoni Amri; M. Al Haris; Havinka Angel Salsabilla; Heppy Nur Asavia Ginasputri; Salsabila Dhea Sintya
Eigen Mathematics Journal Vol 7 No 2 (2024): December
Publisher : University of Mataram

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29303/emj.v7i2.236

Abstract

Tuna (Euthynnus affinis) is one of the most important fisheries commodities in Indonesia with significant economic value, especially in its contribution to fisheries export revenue. However, the price of tuna experiences significant fluctuations that can affect local and national economic stability. This study analyzes the daily price fluctuations of tuna in the North Sumatra market from January 1, 2024 to April 29, 2024 using a time series analysis approach. Daily price data were collected and analyzed to identify existing price patterns and volatility. The Autoregressive Conditional Heteroskedasticity (ARCH) model was selected to address the heteroscedasticity in the data, which suggests that the volatility of tuna prices can be well predicted based on past price behavior. The analysis steps include identifying the optimal ARCH model using the Autocorrelation Function (ACF) and Partial Autocorrelation Function (PACF), as well as testing parameter significance and normality assumptions to validate the model fit. The results show that the ARMA (1,0,0) model is the optimal one to model the price volatility of yellow tuna with the MAPE obtained of 2.382. compared to the ARMA-ARCH method with the MAPE value obtained of 2,747. Because it still contains heteroskedasticity effects, even though the results are good, the prediction results do not closely match the original data. The model is effective in improving price forecasting accuracy, which is important to support decision-making in risk management and economic planning in the fisheries sector. The findings contribute to understanding the dynamics of the yellowtail market and optimizing strategies for fisheries management.
Co-Authors Abdul Ghufron Abidah, Khansa Ni'mal Adhwaningrum, Arullah Salsabila Ahmed A. Mostfa Ainurrofiah, Safira Al Aghni Naufalia Al Haris, M Albertus Dion Sarah Alia Permata Alwan Fadlurohman Amri, Saeful Andri Suherdi Ardana Setiawan, Deftha Ariska Fitriyana Ningrum Ariska Fitriyana Ningrum Arman Mohammad Nakib Arya, Abimanyu Asrirawan Astuti, Sofi Anggi Ayu Wulandari Azzahrani, Rahma Dewi Bahaudin, Muhammad Choirudin, Mochamad Fahmi Dannu Purwanto Dhani, Oktaviana Rahma Diani, Nandini Lova Dwi Saputri, Atika Dwi Sulistiani Elfina Latifah Safira Elsa Nudyawati Farid Sam Saputra Febi Anggun Lestari Febrian Hikmah Nur Rohim Febrian Hikmah Nur Rohim Febrian Hikmah Nur Rohim Febryana Dilla Setyaningrum Firochul Masichah Haris, M. Al Havinka Angel Salsabilla Heppy Nur Asavia Ginasputri Herculianus Rowa Dawi Inayah Pangestu, Eka Indah Manfaati Nur Irawan, Alfian Chandra Isnaini Maulida Iva Aurellia Khalif Jesicha Arsusma Kaia Raissa Akmalia Kamilah Citra Khumairoh Khamidah Arsyad Daud Khikman, Muhammad Alvaro Kinanta, Ailsha Syafa Laila Qadrini Lea Angelina Lydia Nur Sa'adah Lydia Nur Sa'adah M. Al Haris M. Al Haris Moch Yahya Muhammad Alvaro Khikman Muhammad Fahmuddin Muhammad Ivan Ardiansyah Muhammad Ivan Ardiansyah Muhammad Ivan Ardiansyah Nasyiatul Izzah Novia Yunanita Nufita Nurohmah Nur Arifah, Miftah Nur Mahmudah Nurmawati Ainun Nurul Azka, M. Ilham NURUL HIKMAH Oktaviana Rahma Dhani Pranandira Rilvandri, Quinsy Pratama, Rifin Fadilla Priambodo, Danu Puspitasari, Linda Raka Nurhaq Mulya Hartanto Rakhmawati, Muji Silvi Ramadhan, Wulan Nur Rendi Andika Putra Revika Inta Nur Kholifah Riska Multiyaningrum Riska Multiyaningrum Riska Multiyaningrum Rofiah Ainun Nisa Rohim, Febrian Hikmah Nur Salsabila Dhea Sintya Salwa Salsabila, Galuh Saputri, Atika Dwi Sari, Selvi Ana Windia Sidqi, Isnaeni Miftahul Siti Mutiah siti wulandari Suci Izzati Suherdi, Andri Sulistiya, Indah Supriyanto Syaharani, Nabbila Dyah Tiani Wahyu Utami Velia Arni Widyasari Wahid, Siti Nurasriyanti Wardani, Amelia Kusuma Watur, Annisa Cahyaningrum Wikanastri Hersoelistyorini Wikanastri Hersoelistyorini Wulan Sari Yan Nazala Bisoumi Yolan Triky Yusrisma Asyfani Zahra Aura Hisani Zahra Aura Hisani Zahra Aura Hisani