Article Per Year (5 Year)
p-Index From 2020 - 2025
0.23
P-Index
This Author published in this journals
All Journal Journal of Actuarial, Finance, and Risk Managment
Shafa Luthfia Sari Haerani
universitas presiden
Economics, Econometrics & Finance Mathematics

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
ARIMA Model in Predicting Jakarta Composite Index Shafa Luthfia Sari Haerani; Edwin Setiawan Nugraha
Journal of Actuarial, Finance, and Risk Management Vol 1, No 1 (2022)
Publisher : Journal of Actuarial, Finance, and Risk Management

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33021/jafrm.v1i1.3675

Abstract

This study discusses stock price modeling using ARIMA model. We apply to model to the Jakarta Composite Index (JCI) as it represents all stock performances listed in Indonesia Stock Exchange. In this study, we propose several ARIMA models based on the daily from June 10th, 2019 until December 6th, 2019. The parameters among the models are estimated by using RStudio. We chose the best model by considering its AIC and RMSE. The best model that is ARIMA (21, 1, 2) with 99% confidence interval. This model is then used to predict the next 15 days (December 09, 2019 to January 02, 2020).
Co-Authors Edwin Setiawan Nugraha