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Journal : Jurnal Teknik Informatika (JUTIF)

Stock Price Prediction and Risk Estimation Using Hybrid CNN-LSTM and VaR-ECF Febriyanti, Alvi Yuana; Prasetya, Dwi Arman; Trimono, Trimono
Jurnal Teknik Informatika (Jutif) Vol. 6 No. 3 (2025): JUTIF Volume 6, Number 3, Juni 2025
Publisher : Informatika, Universitas Jenderal Soedirman

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.52436/1.jutif.2025.6.3.4648

Abstract

Stock price prediction is a major challenge in the financial domain due to high volatility and complex movement patterns. Traditional methods such as fundamental and technical analysis often fail to capture the non-linear characteristics and fast-changing market dynamics, highlighting the need for more adaptive approaches. This study proposes a hybrid deep learning model, CNN-LSTM, which combines CNN's local feature extraction capabilities with LSTM’s ability to model long-term temporal dependencies. To incorporate risk management, the model is also integrated with the Value at Risk (VaR) approach using the Cornish-Fisher Expansion (ECF) to estimate potential losses under extreme market conditions. The study utilizes daily historical stock price data of PT Unilever Indonesia Tbk retrieved from Yahoo Finance. Model performance is evaluated using Mean Absolute Error (MAE) and Mean Absolute Percentage Error (MAPE), where the model achieves an MAE of 78.13 and a MAPE of 2.72%, indicating relatively low absolute and relative prediction errors. These results confirm that the CNN-LSTM approach effectively models stock price movements in dynamic market environments, and the integration with VaR-ECF provides a more comprehensive risk estimate. Thus, this approach not only enhances predictive accuracy but also offers valuable decision-support tools for investors in planning investment strategies.
Co-Authors ', Nachrowie ., Humaidi A. A. Ngurah Gunawan Aan Nehru Awanto Achmad Junaidi Adhigiadany, Chelsea Ayu Aditya, Wigananda Firdaus Putra Agustin, Sesillia Agustina, Fadlila Akio Kitagawa Alam, Fajar Indra Nur Alfa, Aniysah Fauziyyah Alhamda, Denisa Septalian Ali, Munawar Amrullah, Ahmad Wildan Andre Leto Andrew Arjunanda Yasin Anggraini Puspita Sari Anindha Lazuardi Aries Boedi Setiawan Arifani, Kahpi Baiquni Arifuddin, Rahman Arinda, Putri Surya Arum Puspita Ayu Aryananda, Rangga Laksana Atiana Sofia Kaci Awang, Wan Suryani Wan Azizah, Alisa Jihan Aziziyah, Luqna Baidowi Baidowi Baidowi Baidowi Bambang Nurdewanto Barus, Indra Basitha F Hidayatulail Cahyani Kuswardhani, Hajjar Ayu cahyono, wahyu eko Candra Laksana Damai Arbaus, Damai Damaliana, Aviolla Terza Danang - Destiawan Danang Destiawan Desyderius Minggu Dicky Kurniawan Diyasa, I Gede Susrama Mas Dody Pintarko Dwi Agung Ayubi E, Nachrowie Eka Prakarsa Mandyartha Ekawati, Anies Eko Wahyu Prasetyo Elta Sonalitha Sonalitha Emilia, Kholidatus Erik Roma Hurmuzi Fahrudin, Tresna Maulana Farhans, Muhammad Izzudin Febriyanti, Alvi Yuana Firdaus Firdaus Firza Prima Aditiawan Gatut Yulisusianto Halim, Christina Hari Fitria Windi Hendry Yudha Pratama Herdianti, Rahmalia Anindya Hesti Sholikah, Hesti Hidayatulail, Basitha F Hikmata Tartila Hiroshi Suzuki Hurmuzi, Erik Roma I Gede Susrama Mas Diyasa Ibrahim, Mohd Zamri Bin idhom, Mohammad Iffadah, Adhisa Shilfadianis Indra Barus Irsyadi, Muhamad Haidir Ismail, Jefri Abdurrozak Januar, Teddy Jariyah Jeki Saputra Junita Junita Kartika Maulida Hindrayani Kartika Maulida Hindrayani Kassim, Anuar bin Mohamed Kholid, Fajar Kukuh Yudhistiro, Kukuh Kurniawan, Dicky Kusuma, Dwi Febri Chandra Kusuma, Firdaus Miftakh Kuswardana, Dendy Arizki Laksana, Candra Larasati Lestari, Amanda Ayu Dewi Lisanthoni, Angela Maldini, Andry Syva Maulidiyyah, Nova Auliyatul Millani, Alief Indy Mohammad Ansori Mohammad Idhom Mohammad, Bawazir Fadhil Muhaimin, Amri Muhammad Ansori Muhammad Ghinan Navsih Muhammad Muharrom Al Haromainy Muhammad Naswan Izzudin Akmal Mulyadi Mulyadi Nachrowie Nachrowie Nachrowie, Nachrowie Nambo Hidetaka Niken Sulistyowati Ningrum, Imelda Widya Ninik Sisharini Ninis Herawati Norma Windiyanti Novita Anggraini Nur Rachman Nur Rachman Supatmana Muda Nur Rochman Nur Rochman Nurhalizah, Cesaria Deby Prakoso, Akbar Tri Prameswari, Diajeng Prismahardi Aji Riyantoko Puput Dani Prasetyo Adi Putri, Irma Amanda Putri, Serlinda Mareta Rabi, Abd. Rahayu, Ayu Sri Rahman Arifuddin Rahmanda Putri, Endin Rahmawati, Adinda Aulia Respati Respati Ristiyani, Sintiya Riyantoko, Prismahardi Aji Rosariawari, Firra Rudi Wilson Sagita Rochman Salim, Hotimah Masdan Santika, Surya Saputra, Wahyu Syaifullah Jauharis Sari, Andina Paramita Sigit, Syauqita Siswanto Siswanto Sitanggang, Desi Daomara Siti Nuurlaily Rukmana, Siti Nuurlaily Stanislaus Yoseph Subairi Subairi Sugiarto S Sumartono Sumartono Sumartono Suprayogi Suprayogi Suprayogi Suprayogi Surya Nanda Santika, Surya Suryantari, Putu Anggi Takahiro Kitajima Takashi Yasuno Tresna Maulana Fahrudin Trimono Trimono, Trimono Utomo, Setyobudi Wahyu Dirgantara Wahyu Putra Pratama Wahyu Syaifullah Jauharis Saputra Wahyuni, Dinar H S wangge, ferdinandus Weisrawei, Yosef Yasin, Andrew Arjunanda Yohanes U D Sipul Yosef Weisrawei Yosua Satria Bara Harmoni Yuliani, Devina Putri Yunia Dwie Nurchayanie Yusaq Tomo Ardianto