Academy of Entrepreneurship Journal (Print ISSN: 1087-9595; Online ISSN: 1528-2686)


Predicting the Stock Prices of Indonesia′s State-Owned Enterprises by Using Arima and Garch Model

Author(s): Muhammad Yunus Kasim, Darman, Juliana Kadang and Husnah

This study aims to identify and analyze stock price projections and the application of the ARIMA & ARCH/GARCH model in State-Owned Enterprises listed on the Indonesia Stock Exchange. This research is a descriptive research with a quantitative approach. Data was collected through recording stock prices for each company as many as 19 companies from January 2017 to December 2019 at The results of the research show that the average stock price movement in 2017 decreased due to global economic conditions such as the weakening of the rupiah against the US dollar, sluggish coal and nickel commodity prices, decreased demand for imports of raw materials from China, rising world oil prices, company policies in expanding, and government policies in the infrastructure sector. In 2018, stock price movements rose again due to the improving global economy and in 2019 the average stock price movement tended to be stable. The model used on the stock prices of PGAS, BBRI, and BMRI companies uses the ARIMA (1,0,1) model. The ARIMA model is sufficient to use on the stock price because the normality conditions are met. Meanwhile, the stock prices of PTBA, ANTM, TINS, KRAS, SMBR, SMGR, INAF, KAEF, ADHI, WIKA, PTPP, GIAA, TLKM, JSMR, BBNI, and BBTN use the GARCH (1,0,1) model which indicates volatility in the data that causes the error contains homoscedasticity and results in the non-fulfillment of the normality requirements of the model.

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