Peramalan Harga Saham PT Merdeka Copper Gold Tbk. dengan Menggunakan Model ARCH-GARCH

Abstract

This study’s aim is to obtain a forecasting model and compare the share price of PT Merdeka Copper Gold Tbk. by using time series method, ARCH-GARCH model. The data used is historical data for the period December 2021 – December 2022. The initial steps are stationarity test, identifying ARIMA model, and checking heteroscedasticity effect of the best ARIMA model. Then from this model, identify ARCH-GARCH model. After the model has been formed, compare those models that have been assumed by using the smallest AIC and SBC values as well as checking heteroscedasticity effect in the model. The last step is forecasting for the period January 2023 using GARCH (1,0), the equation is