Journal of Actuarial, Finance, and Risk Managment
Vol 2, No 2 (2023)

Forecasting the Weekly Stock Price of PT. OCBC NISP Tbk. using Auto Regressive Integrated Moving Average

Elisabeth Gloria Manurung (President University)
Edwin Setiawan Nugraha (President University)



Article Info

Publish Date
03 Dec 2023

Abstract

Stocks are widely used in financial markets and can be an option for companies seeking to raise funds. Additionally, investors often opt for stocks as an investment due to their potential for providing high returns. To aid investors in making informed decisions when buying and selling stocks and mitigating risks, professionals have developed different theories and analyses to forecast stock prices. Auto Regressive Integrated Moving Average (ARIMA) (p,d,q) technical analysis will be used in this study to predict the weekly stock price of PT Bank OCBC NISP Tbk (NISP.JK) for 7 weeks from Jan 7, 2022 to February 18, 2022. In this study, historical weekly stock price data for PT. Bank OCBC NISP Tbk (NISP.JK) from 1 January 2021, to 31 December 2021 was collected from Yahoo Finance website to create a forecast. The researches got 12 different ARIMA models, then the researcher determined that the second model (ARIMA (2,2,1) was the most effective. This model was chosen because it has second lowest AIC value and lowest MSE, RMSE, and MAE.

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Journal Info

Abbrev

JAFRM

Publisher

Subject

Economics, Econometrics & Finance Mathematics

Description

This journal aims to provide high quality articles covering any and all aspects of the most recent and significant developments in the actuarial, financial, and risk ...