Application of Double Seasonal Autoregressive Integrated Moving Average (DSARIMA) for Stock Forecasting

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Authors

  • Mega Silfiani Institut Teknologi Kalimantan https://orcid.org/0000-0002-2290-6351
  • Farida Nur Hayati Institut Teknologi Kalimantan
  • Muhammad Azka Institut Teknologi Kalimantan

DOI:

https://doi.org/10.32665/statkom.v2i1.1594

Keywords:

Double SARIMA, Forecasting, MASE, MdAPE, Stock

Abstract

Background: Stock price forecasting assists investors to anticipate risks and opportunities in making prudent investments and maximizing returns.

Objective: This study aims to identify the most accurate model for stock forecasting.

Methods: This paper utilized the daily closing stock price of Unilever Indonesia, Tbk (UNVR) from January 1, 2018 to July 31, 202.  Double Seasonal Autoregressive Integrated Moving Average (DSARIMA), was utilized in this study. Mean Absolute Scaled Error (MASE) and Median Absolute Percentage Error (MdAPE) are used to compare forecasting accuracy.

Results: Following conducting each model, we assessed that the best models are DSARIMAX (0,1,[4]) ([3],1,1)5(1,1,0)253, regarding MASE and MdAPE corresponding to approximately 1.423 and 0.111. The scope of this study has limitations to a test set for one-month forecast periods.

Conclusion: As stock prices rise, investors require precise forecasts. Models of forecasting must perform well. This analysis shows how the DSARIMA generate forecasts stock prices more accurately. This investigation evaluated the closing stock price of UNVR. Both MASE and MdAPE assess prediction. After analyzing each model, DSARIMAX (0,1,[4])([3],1,1)5(1,1,0)253 has the lowest MASE and MdAPE values, 1.423 and 0.111, respectively. The procedure lasted one month. Research may combine forecasts and improve their accuracy.

 

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Published

2023-06-30

How to Cite

Silfiani, M., Hayati, F. N., & Azka, M. (2023). Application of Double Seasonal Autoregressive Integrated Moving Average (DSARIMA) for Stock Forecasting. Jurnal Statistika Dan Komputasi, 2(1), 12–19. https://doi.org/10.32665/statkom.v2i1.1594

Issue

Vol. 2 No. 1 (2023): Jurnal Statistika dan Komputasi

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Articles

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Abstract View: 203, SIMILARITY INDEX Download: 0 PDF Download: 232