文章基本信息

标题：FORECASTING STOCK PRICES ON THE LQ45 INDEX USING THE VARIMAX METHOD
本地全文：下载
作者：Dinul Darma Atmaja ; Widowati Widowati ; Budi Warsito 等
期刊名称：MEDIA STATISTIKA
印刷版ISSN：1979-3693
电子版ISSN：2477-0647
出版年度：2021
卷号：14
期号：1
页码：98-107
DOI：10.14710/medstat.14.1.98-107
语种：English
出版社：MEDIA STATISTIKA
摘要：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.