The MAPE Analysis of Arima (p,d,q) on LQ45 Stock Price to Determine Training Data Period
DOI:
https://doi.org/10.58776/ijitcsa.v2i3.168Keywords:
ARIMA(p,d,q), MAPE Analysis, Prediction Residual Test, Parameter EstimationAbstract
Most of the research using the Arima (p,d,q) focused on the accuracy of prediction results. Unlike other research, this work examines the training data period suitable for modeling ARIMA (p,d,q) in stock prices. Due to the volatile movement of stocks, the number of training data is assumed to affect the LQ45 prediction results. This research used five kinds of training data, including daily data for up to 5 years. With these five types of data series, the Arima (p,d,q) was made for LQ45 stocks. The prediction was conducted for two months after obtaining the model 5 data series of LQ45 stocks. Two months of data were used for January and February 2021 prediction test data. The results of this prediction were compared with the test data to produce the MAPE value. Based on the observations and calculation results, the most suitable stock to use the Arima (p,d,q) was ASII. In 5 years, the stocks produced the lowest MAPE value of 0.05%. Relatively stable LQ45 stocks with no change in the Arima (p,d,q) using four consecutive data series were ACES, CTRA, INTP, MIKA, and TLKM. Based on the MAPE value analysis performed in this study, we concluded that the best period to use the Arima (p,d,q) for LQ45 stocks is two years, with a median error rate of only 6.0091%.
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