Comparative Study of Stock Price Forecasting Models PT. Unilever Indonesia Tbk Using Arima and Garch

https://doi.org/10.55299/ijcs.v2i1.220

Authors

  • Maya Citra STEBIS Al Ulum Terpadu Medan

Keywords:

Stock prices, ARIMA, GARCH

Abstract

The purpose of this study is to know the comparison of forecasting models in predicting the stock price of PT. Unilever Indonesia Tbk. In this study, there are 2 forecasting models, namely ARIMA and GARCH forecasting. The population in this study is data on the daily closing price of PT. Unilever Indonesia Tbk for the period January 2018 to June 2021, so the sample in this study is 1090 time series data. The results showed that the best forecasting model to predict the stock price of PT. Unilever Indonesia Tbk, namely ARIMA (1,1,1) and GARCH (1,1). In the ARIMA model (1,1,1) there are assumptions that are not met, namely the assumption of homoscedasticity or in the model there is an element of heteroscedasticity so that the GARCH (1,1) model with MAPE 1.91% is selected as the best forecasting model to predict stock prices of PT. Unilever Indonesia Tbk.

Published

2021-06-30

How to Cite

Maya Citra. (2021). Comparative Study of Stock Price Forecasting Models PT. Unilever Indonesia Tbk Using Arima and Garch. International Journal of Community Service (IJCS), 2(1), 1–22. https://doi.org/10.55299/ijcs.v2i1.220