Peramalan Return Saham Menggunakan Model Integrated Moving Average

Abstract

A popular investment that is in great demand among investors is stocked. Stocks are another type of financial instrument offering returns but carrying a higher risk level. Price time series are more difficult to manage than return time series. To equip investors with the knowledge to forecast future stock prices, mathematical models can be used to simulate stock price fluctuations. The time series method, especially the Integrated Moving Average (IMA) model, is a model that can be used to observe changes in stock prices. The Integrated Moving Average (IMA) model will be used in this study to simulate stock returns. The Integrated Moving Average (IMA) model is a Moving Average model that is carried out with a differencing process or an Autoregressive Integrated Moving Average model with a value of Autoregressive being zero. This study uses secondary data simulations from secondary sources, such as data on daily business stock prices for one year, to conduct a literature review and test experiments. The Integrated Moving Average (IMA) model is used in data processing, especially to test the differencing data process. The results obtained are the IMA (1,1) model with the following equation Zˆt = Zt-1 + 0, 5782at-1, which can be used to anticipate future stock returns. Based on these results, it is expected that investors can predict the value of shares within a certain period of time.

Keywords

• stock
• return
• differencing
• integrated moving average
• ima