Penerapan Model ARCH/GARCH untuk Memprediksi Harga Saham Perusahaan Tokai Carbon

Abstract

Historical stock price data is a summary of the stock price trends of individual issuers. This study discusses the historical data forecasting of Tokai Carbon's stock, with 60 data from January 2016 to December 2020. The purpose of this study is to model the historical data of Tokai Carbon's stock through the ARCH/GARCH model. The GARCH (0, 1) model is the most appropriate model to predict the stock price of Tokai Carbon in this study. MAPE's value represents a low percentage of 4.949972% which indicates the ARCH/GARCH method is very good at predicting Tokai Carbon's share price. The formation of a model was carried out to predict Tokai Carbon stock data for the next 7 months, namely from January 2021 to July 2021.