Article Per Year (5 Year)
p-Index From 2021 - 2026
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All Journal International Journal of Science and Environment
Rizki Amelia, Azizah
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Agriculture, Biological Sciences & Forestry Biochemistry, Genetics & Molecular Biology Chemical Engineering, Chemistry & Bioengineering Chemistry Mathematics Physics

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Daily Stock Price Forecasting of PT Astra Agro Lestari (AALI) Using Arima and Arch-Garch Models Rizki Amelia, Azizah; Nurhaliza, Siti; Cantika Dewi, Zhakira; Rifai, Agus
International Journal of Science and Environment (IJSE) Vol. 6 No. 1 (2026): February 2026 (Indonesia - Jepang - United Kingdom)
Publisher : CV. Inara in Colaboration with www.stie-sampit.ac.id

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.51601/ijse.v6i1.423

Abstract

The capital market serves as a vital investment channel where stock prices exhibit dynamic fluctuations influenced by macroeconomic factors and market sentiments. This study estimates daily stock prices of PT Astra Agro Lestari Tbk (AALI), a leading palm oil company, using hybrid ARIMA-ARCH-GARCH models. Employing quantitative time series analysis, the population comprises all daily AALI stock prices from January 1, 2021, to June 30, 2025 (1,145 observations), sampled purposively via Investing.com data. Analysis techniques include ADF stationarity tests, ACF-PACF correlograms, AIC/SC/HQ model selection, ARCH-LM heteroskedasticity tests, and forecasting accuracy evaluation. Results identify ARIMA(1,1,1) as optimal for mean modeling and GARCH(2,1) for volatility, achieving 53% average forecasting accuracy for July 31-August 5, 2025. The hybrid model effectively captures price patterns despite external influences.
Co-Authors agus rifai Cantika Dewi, Zhakira Siti Nurhaliza