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Yundari, Yundari
Jurusan Matematika FMIPA Universtas Tanjungpura
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Journal : Tensor: Pure and Applied Mathematics Journal

 1 
Combined Model Time Series Regression – ARIMA on Stocks Prices Desi Desi; Setyo Wira Rizki; Yundari Yundari
Tensor: Pure and Applied Mathematics Journal Vol 3 No 2 (2022): Tensor: Pure and Applied Mathematics Journal
Publisher : Department of Mathematics, Faculty of Mathematics and Natural Sciences, Pattimura University, Ambon, Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/tensorvol3iss2pp65-72

Abstract

Stock price data tend to experience a linear trend and fluctuate over time. So that forecasting is needed to predict stock prices in the next period. The nature of the linear trend can be modeled by linear time series regression and ARIMA. The purpose of this study is to form a combined model time series regression linear – ARIMA and predict stock prices using the combined mode time series regression linear – ARIMA. Combining two models can increase the level of forecasting accuracy compared to using separate models. The data used is the daily closing price of PT Unilever Indonesia Tbk for the period January 4, 2021 to December 30, 2021. The data forms a trend pattern that tends to be linear. The data is divided into in sample and out sample data with a proportion of 80:20. The model time series regression linear is formed by regressing the trend variable and stock closing price variable. From the model time series regression, the residual value is sought that will be used to form the ARIMA model. The model time series regression linear is then combined with the ARIMA model, where the model formed is a combined model time series regression linear – ARIMA (0,1,1) with the MAPE is 1.349906%. The results of PT Unilever Tbk’s stock price forecasting for the period January 3, 2022 to January 21, 2022, continued to decline. The highest forecasting results occurred on January 3, 2022, amounting to 4,091.253. While the lowest forecasting results occurred on January 21, 2022, which amounted to 3,827.192.
Co-Authors Adam Asyrad Ahmad Yani T Alexander Ananda, Adelia Ariani, Prisilia Arizal, Arizal Ayu Lestari Ayu Sri Utami Bambang Poniman Barita Riana Sitours Bayu Prihandono Brella Glysentia Vilgalita Dea Rizki Darmawanti Dede Suratman Deni Winda Sari Desi Desi Ditanti Putri Shofia Eligia Helvianti Tri Lina P Elishabet Yohana Enis Rahayu Erlando Erlando Ervina Febyolga Evangelista, Gitta Evi Novian Evi Noviani Evi Noviani Evy Sulistianingsih Fansiskus Fran Ferry Adrian Fikadila, Lisa Firhan Januardi Firmansyah, Dimas Fran, Fransiskus Fransiskus Fran Fransiskus Fran Hamdani Hamdani Hanssen, Calvin Helmi Helmi Helmi Helmi Helmi Helmi Helmi Hendra Perdana Hengki, Marius Henny Priandini Amalia Huda, Nur'ainul Miftahul Huda, Nur’ainul Miftahul Ikbal Muhaimin Intan Luthfiani Fajria Julianus Takuan Juwita, Dia Prima Laksono Trisnantoro Lauren, Nover Laurens Paskhia Dirda Rusanditia Lina Astuti Mariatul Kiftiah Martha, Shantika Meisita, Cheril Meliana Pasaribu Melinda Mareta Sari Mohamad Rif'at Mudinillah, Adam Muhammad Ilyas Mujiarti, Eka May Muslimah (F54210032) Nadia Putri Kurniawati Neno Juli Triami Neva Satyahadewi Nilamsari Kusumastuti Ningrum, Runi Aisyah Diyah Novia Kristefany Kabang NURFITRI IMRO’AH Nurfitri Im’roah Nurliantika, Nurliantika NUR’AINUL MIFTAHUL HUDA Pranata Anggi Putra, Fajar Rahmana Putri Romanda Rachmawati, Febby Ramadhan, Rahul Rif'at, Mohammad Riski Apriadi Rivaldi, Syahrul Rizki, Setyo Wira Rohit Rifatullah Ryan Jonathan Safitri, Fauziah Sasqia Aklysta Antaristi Setyo Wira Rizki Setyo Wira Rizki Shantika Martha Shantika Martha Silvy Heriyanti Siti Aprizkiyandari, Nurul Qomariyah, Shantika Martha, Suryani Suryani Tamtama, Ray Udjianna Sekteria Pasaribu Urfila Dian Puspita Utriweni Mukhaiyar Venti, Monalisa Wele, Bruno Sala Winanda Epriyanti Yudhi Yulis Jamiah Yuni Chintya Zada Almira Zubaidah Zubaidah