Forecasting Stock Prices of PT. Bank Negara Indonesia (Persero) Tbk., by Method (BOX-JENKINS)

Abstract

The purpose of this study is to find the most appropriate model for predicting future stock prices, and the analytical tool used is ARIMA. In this study, the authors used the time series data of the share price of PT BNI (Persero) Tbk. from January 3, 2017, to June 28, 2019, consisting of 594 working days from the Investing.com database. The research found that the ARIMA model analysis (3,1,3) is the most appropriate model for predicting the share price of PT. Bank Negara Indonesia (Persero) Tbk, with the equation model: Yt = - 6.331988 + 1.714721Yt-1 - 0.149406 Yt-2 - 1.72221 Y t-3 + 0.858083 Yt-4 + 0.729283 t-1 - 0.845787 t-2 - 0.898101 t-3.