Azhar, Rialdi and Kesumah, Fajrin Satria Dwi and ambya, ambya and Russel, Edwin APPLICATION OF SHORT-TERM FORECASTING MODELS FOR ENERGY ENTITY STOCK PRICE (STUDY ON INDIKA ENERGI TBK, JII). International Journal of Energy Economics and Policy, 10 (1). pp. 294-301. ISSN 2146-4553

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Abstract

Share price as one kind of financial data is the time series data that indicates the level of fluctuations and heterogeneous variances called heteroscedasticity. The method that can be used to overcome the effect of autoregressive conditional heteroscedasticity (ARCH effect) is the GARCH model. This study aims to design the best model that can estimate the parameters, predict share price based on the best model and show its volatility. In addition, this paper discusses the prediction-based investment decision model. The findings indicate that the best model corresponding to the data is AR(4)-GARCH(1,1). The model is implemented to forecast the stock prices of Indika Energy Tbk, Indonesia, for 40 days and significantly presented good findings with an error percentage below the mean absolute.

Item Type:	Article
Subjects:	H Social Sciences > HG Finance
Divisions:	Fakultas Ekonomi dan Bisnis (FEB) > Prodi Akuntansi
Depositing User:	S.E.M.S.A. Rialdi Azhar
Date Deposited:	13 Jul 2020 03:31
Last Modified:	13 Jul 2020 03:31
URI:	http://repository.lppm.unila.ac.id/id/eprint/20229

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