FORECASTING STOCK PRICES ON THE LQ45 INDEX USING THE VARIMAX METHOD

Autor:	Dinul Darma Atmaja, Widowati Widowati, Budi Warsito
Jazyk:	English<br />Indonesian
Rok vydání:	2021
Předmět:	forecasting multivariate time series analysis varma indonesia stock exchange (idx) lq45. Probabilities. Mathematical statistics QA273-280
Zdroj:	Media Statistika, Vol 14, Iss 1, Pp 98-107 (2021)
Druh dokumentu:	article
ISSN:	1979-3693 2477-0647
DOI:	10.14710/medstat.14.1.98-107
Popis:	Forecasting using the Autoregressive Integrated Moving Average (ARIMA) method is not appropriate to predict more than one stock price because this method is only able to model one dependent variable. Therefore, to expect more than one stock prices, the ARIMA method expansion can be used, namely the Vector Autoregressive Integrated Moving Average (VARIMA) method. Furthermore, this research will discuss forecasting stock prices on the LQ45 index using the Vector Autoregressive Integrated Moving Average with Exogenous Variable (VARIMAX) method. Then, after the initial model formation process, the best model is the VARIMAX (0,1,2) model. Finally, the results of this study using the VARIMAX (0,1,2) model obtained the predictive value of the prices and the error values of stocks on the LQ45 index.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/4c310f5e530c4bf88159b276e6e61350 Zobrazit plný text záznamu View record in DOAJ