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All Journal Pixel : Jurnal Ilmiah Komputer Grafis Jurnal Nasional Komputasi dan Teknologi Informasi International Journal of Engineering, Science and Information Technology Journal of Artificial Intelligence and Digital Business Journal of Social Work and Empowerment
I Nyoman Tri Anindia Putra
Universitas Pendidikan Ganesha
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Performance Comparison of SARIMA and Prophet Models for Forecasting Indonesian Banking Stock Prices Syarifudin Abdullah; Ida Bagus Nyoman Pascima; I Nyoman Tri Anindia Putra
Pixel :Jurnal Ilmiah Komputer Grafis Vol. 19 No. 1 (2026): Pixel :Jurnal Ilmiah Komputer Grafis dan Ilmu Komputer
Publisher : UNIVERSITAS STEKOM

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.51903/pixel.v19i1.3959

Abstract

This study compared the performance of SARIMA and Prophet models in forecasting daily close prices of three major Indonesian banking stocks: BBCA, BBRI, and BMRI, using data from January 2020 to March 2026. Data were retrieved via the yfinance library, preprocessed, and split into 80% training and 20% testing sets. SARIMA modeling followed the Box-Jenkins procedure, while Prophet was configured with a Lag-1 regressor, weekly and monthly seasonality, Indonesian public holidays, and log transformation. Model performance was evaluated using MAPE, MSE, and Dstat metrics. Results showed that SARIMA outperformed Prophet in MAPE and MSE across all six stock-variable combinations, with MAPE values ranging from 1.3368% to 1.9386% for SARIMA and 1.5992% to 2.2300% for Prophet. However, Prophet demonstrated marginally higher Dstat values in several series. Both models achieved "Very Good" forecasting accuracy. A web-based forecasting system was also developed using Streamlit to make the models accessible to investors.
Co-Authors Aisy Haaniya Putri Ayu Ngurah Catur Aprillia Dewi I Made Marthana Yusa I Made Marthana Yusa I Nyoman Artika I Nyoman Widhi Adnyana I Nyoman Widhi Adnyana Ida Bagus Nyoman Pascima Kadek Sri Widiyanti Ketut Candra Dipasanti Ketut Sepdyana Kartini Luh Eka Putri Jayanti Ni Komang Riana Lestari Ni Putu Sitareni Anggita Putri Rachel Erlanyati Sagala Syarifudin Abdullah