Forecasting The Share Price of PT Merdeka Copper Gold Tbk By Using Arch-Garch Model

Authors

  • Ananda Nabilah Faisal Universitas Sumatera Utara
  • ESM Nababan Universitas Sumatera Utara
  • Sutarman Sutarman Universitas Sumatera Utara
  • Parapat Gultom Universitas Sumatera Utara

DOI:

https://doi.org/10.24014/sitekin.v20i2.22704

Abstract

This study aims to obtain a forecasting model and compare PT Merdeka Copper Gold Tbk share price using the time series method, ARCH-GARCH model. The data used is historical data for the period December 2021 – December 2022. The initial steps are the stationarity test, identifying the ARIMA model, and checking the heteroscedasticity effect of the best ARIMA model. Then from this model, identify the ARCH-GARCH model. After the model has been formed, compare those models that have been assumed by using the smallest AIC and SBC values and checking the model's heteroscedasticity effect. The last step is forecasting for January 2023 using GARCH (1,0). The equation is .

 

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Published

2023-05-22

Issue

Vol. 20 No. 2 (2023): June 2023

Section

Articles

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