Perbandingan Autoregressive Integrated Moving Average dan Average-Based Fuzzy Time Series dalam Peramalan Harga Penutupan Saham (Studi Kasus: PT Adaro Energy Tbk)

Abstract

The advances in the field of economics have made many methods of fulfilling financial needs emerge. One of those methods is investing in the stock market. Prediction methods are needed to forecast future stock prices. This study aims to forecast stock closing price using Autoregressive Integrated Moving Average (ARIMA) and Average-Based Fuzzy Time Series (FTS). The data used in this study is historical stock closing price data of PT. Adaro Energy Tbk from April 12th 2021 to April 28th 2022. Forecasting with ARIMA produced MAPE value of 10,75% and RMSE of 372,11 while forecasting with average-based FTS produced MAPE value of 2,74% and RMSE of 125,49. The values of MAPE and RMSE produced by the average-based FTS method are better than ARIMA, which indicates that average-based FTS is better than ARIMA in forecasting stock closing price of PT. Adaro Energy Tbk. A forecast of 10 days ahead using average-based FTS produced a MAPE score of 2,57% and RMSE score of 105,92.