SITEKIN: Jurnal Sains, Teknologi dan Industri
Vol 20, No 2 (2023): June 2023

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

Ananda Nabilah Faisal (Universitas Sumatera Utara)
ESM Nababan (Universitas Sumatera Utara)
Sutarman Sutarman (Universitas Sumatera Utara)
Parapat Gultom (Universitas Sumatera Utara)

Article Info

Publish Date
22 May 2023

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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Journal Info
SITEKIN: Jurnal Sains, Teknologi dan Industri
Website

Abbrev

sitekin

Publisher

Universitas Islam Negeri Sultan Syarif Kasim Riau

Subject

Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Industrial & Manufacturing Engineering Other

Description

Sesuai dengan standard ISO 45001 bahwa karyawan harus berpartisipasi dalam melakukan pencegahan kecelakaan. Untuk itu perusahaan telah menetapkan Program Hazob (Hazard Observation) untuk mengidentifikasi bahaya dan melakukan tindakan koreksinya. Penerapan Program Hazob masih dengan metode ...