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FORECASTING STOCK PRICES ON THE LQ45 INDEX USING THE VARIMAX METHOD

*Dinul Darma Atmaja  -  Department of Mathematics, Faculty of Science and Mathematics, Diponegoro University, Indonesia
Widowati Widowati  -  Department of Mathematics, Faculty of Science and Mathematics, Diponegoro University, Indonesia
Budi Warsito  -  Department of Statistics, Faculty of Science and Mathematics, Diponegoro University, Indonesia
Open Access Copyright (c) 2021 MEDIA STATISTIKA under http://creativecommons.org/licenses/by-nc-sa/4.0.

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Abstract
Forecasting using the Autoregressive Integrated Moving Average (ARIMA) method is not appropriate to predict more than one stock price because this method is only able to model one dependent variable. Therefore, to expect more than one stock prices, the ARIMA method expansion can be used, namely the Vector Autoregressive Integrated Moving Average (VARIMA) method. Furthermore, this research will discuss forecasting stock prices on the LQ45 index using the Vector Autoregressive Integrated Moving Average with Exogenous Variable (VARIMAX) method. Then, after the initial model formation process, the best model is the VARIMAX (0,1,2) model. Finally, the results of this study using the VARIMAX (0,1,2) model obtained the predictive value of the prices and the error values of stocks on the LQ45 index.

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Keywords: Forecasting; Multivariate Time Series Analysis; VARMA, Indonesia Stock Exchange (IDX); LQ45.

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