Date: 18-08-2018 Digital Publication Services : OSREL | JABM | JAM | ABMR | ABMCS

ANALISIS FORECASTING VOLATILITAS SAHAM PERUSAHAAN GO PUBLIC DENGAN METODE ARIMA (Studi Kasus PT GARUDA INDONESIA, Tbk)

Detail
Author Nia Dewinta Kartika Puteri
Category Akuntansi Keuangan dan Auditing

Abstract

One of the preferred investment in society today is a stock investment because there’s campaign of "Yuk Nabung Saham". Indonesia Stock Exchange are the only issuers in flight namely Garuda Indonesia, which is one of the state-owned corporation. Garuda Indonesia has premium quality with quite expensive price, a well-known brand but not the stocks.The main purpose of this study is to predict the stock volatility of Garuda Indonesia Ltd. This is done to anticipate the risk of stock investment by businesses, particularly investors. The method of this study used ARIMA method (p, d, q). This study used the daily data from Garuda Indonesia Ltd. since it decided IPO and then make the monthly data with the calculation of estimated volatility. This study discusses the analysis steps of forecasting using ARIMA or better known as Box-Jenkins method. The results of this study indicate ARIMA (0,1,1). The forecasting volatility of Garuda Indonesia Ltd. on Juli 2017 and the next August 2017 is 0,00026 and 0,00022. It means that the forecasting volatility is decline, investors are advised not to leave the market. Conversely, for beginner investors who are interested in the YNS program by BEI may purchase stock of Garuda Indonesia Ltd. in the period of August 2017.