Peramalan Harga dan Tren Saham Menggunakan Model Arima-Garch dan Hidden Markov Model

Abstract

In this study, the ARIMA-GARCH model is used to forecast stock prices and volatility, while the Hidden Markov Model (HMM) is used to detect hidden trends based on the forecasting results. The data used is the historical daily stock price data of PT Bukit Asam Tbk from October 2022 to October 2023. From the ARIMAGARCH model, the best models for forecasting the opening and closing stock prices of PT Bukit Asam Tbk are ARIMA(0,1,1)-GARCH(1,0) and ARIMA(1,1,0)- GARCH(1,0) with equations and . These forecasting results will be used to identify and forecast hidden trends in stock price movements. Based on the results of the Hidden Markov Model (HMM) analysis, all hidden states show bearish conditions indicating that the overall market is in a downward trend, despite daily fluctuations in stock prices.