Forecasting Stock Price PT. Telkom Using Hybrid Time Series Regression Linear– Autoregressive Integrated Moving Average Model
| Main Authors: | Ramadani, Kartika , Wahyuningsih, Sri , Hayati, Memi Nor |
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| Format: | Article info application/pdf eJournal |
| Bahasa: | eng |
| Terbitan: |
Department of Mathematics, Hasanuddin University
, 2022
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| Subjects: | |
| Online Access: |
https://journal.unhas.ac.id/index.php/jmsk/article/view/18837 https://journal.unhas.ac.id/index.php/jmsk/article/view/18837/7618 |
Daftar Isi:
- The hybrid method is a method of combining two forecasting models. Hybrid method is used to improve forecasting accuracy. In this study, the Time Series Regression (TSR) linear model will be combined with the Autoregressive Integrated Moving Average (ARIMA) model. The TSR linear model is used to obtain the model and residual value, then the residual value of the TSR linear model will be modeled by the ARIMA model. This combination method will produce a hybrid TSR linear-ARIMA model. The case study in this research is stock closing price (daily) of PT. Telkom Indonesia Tbk. The stock closing price (daily) of PT. Telkom Indonesia Tbk in 2020 showed an decreasing and increasing trend pattern. The results of this study obtained the best model of hybrid TSR linear-ARIMA (2,1,1) with the proportion of data training and testing is 70:30. In the best model, the MAD value is 56.595, the MAPE value is 1.880%, and the RMSE value is 78.663. It is also found that the hybrid TSR linear-ARIMA model has a smaller error value than the TSR linear model. The results of forecasting the stock price of PT. Telkom Indonesia Tbk for the period 02 January 2021 to 29 January 2021 formed a decreasing trend pattern.
- Metode hybrid merupakan metode penggabungan dua model peramalan. Metode hybrid digunakana untuk meningkatkan akurasi peramalan.Pada penelitian ini, model Time Series Regression (TSR) linier akan digabungkan dengan model Autoregressive Integrated Moving Average (ARIMA). Model TSR linier digunakan untuk memperoleh model dan nilai residual, kemudian nilai residual dari model TSR linier akan dimodelkan oleh model ARIMA. Metode penggabungan ini akan menghasilkan model hybrid TSR linier-ARIMA. Studi kasus dalam penelitian ini adalah harga penutupan saham (harian) PT. Telkom Indonesia Tbk. Harga penutupan saham (harian) PT. Telkom Indonesia Tbk pada tahun 2020 menunjukkan pola trend turun dan trend naik. Hasil penelitian ini, diperoleh model terbaik hybrid TSR linier-ARIMA (2,1,1) dengan proporsi data in sample dan out sample adalah 70:30. Pada model terbaik, diperoleh nilai MAD sebesar 56,595, nilai MAPE sebesar 1,880%, dan nilai RMSE sebesar 78,663. Diperoleh juga bahwa model hybrid TSR linier-ARIMA memiliki nilai kesalahan yang lebih kecil dibandingkan dengan model TSR linier. Hasil peramalan harga saham PT. Telkom Indonesia Tbk periode 02 Januari 2021 sampai dengan 29 Januari 2021 membentuk pola trend turun.