DOI: https://doi.org/10.14710/medstat.15.2.163-174

MEASUREMENT OF SUPPORT VECTOR REGRESSION PERFORMANCE WITH CLUSTER ANALYSIS FOR STOCK PRICE MODELING

*Izza Dinikal Arsy  -  Statistics Study Program, Universitas Gadjah Mada, Indonesia, Indonesia
Dedi Rosadi orcid  -  Statistics Study Program, Universitas Gadjah Mada, Indonesia, Indonesia
Open Access Copyright (c) 2022 MEDIA STATISTIKA under http://creativecommons.org/licenses/by-nc-sa/4.0.

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Abstract
Risk-averse investors will seek out stock investments with the minimum risk. One step that can be taken is to develop a model of stock prices and predict their fluctuations in the coming months. Significant studies on the modeling of stock movements have used the ARCH/GARCH method, but this method requires some assumptions. This paper will discuss the performance of stock modeling using Support Vector Regression. The performance is measured using the root mean square error value in two stock clusters based on its volatility value, e.g., stocks with large volatility and stocks with small volatility. This case study makes use of daily closing price data from 10 LQ-45 index shares from October 12, 2018 to October 11, 2019. In conclusion, SVR's performance on stocks with high volatility produces RMSE, which is considerably higher than SVR's performance on stocks with low volatility.
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Keywords: Support Vector Regression; Stock; Cluster; Volatility.

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Language : EN
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