Hybrid time series and artificial neural network models for forecasting of the banking stock prices during Covid-19 pandemic

Mike Prastuti*, Lucia Aridinanti, Ocktalia Trisnawati, Vies Sata Zullah

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

1 Citation (Scopus)

Abstract

The stocks are one of a variety of securities that are traded in general through the stock exchange. One sector that is quite large in the Indonesian capital market is banking stocks. Banking stock prices are often used by economic analysts as a reflection of the Indonesian economy, this is because banking stock prices are one of the largest sectors in the Indonesian capital market. However, since the discovery of the Covid-19 outbreak in Indonesia in March 2020, banking stock prices have fallen drastically. Since then, the movement of banking stock prices has continued to fluctuate and be uncertainty. This study will forecast banking stock prices using BBCA, BMRI, and BBRI stock price data by adding an intervention variable, namely the time the Covid-19 outbreak was discovered in Indonesia. In this study, we will compare hybrid model of the univariate time series and Artificial Neural Network known as ARIMAX-NN with hybrid model of the multivariate time series and artificial neural network as VARX-NN. The results of this study show that hybrid VARX-NN model produces a smaller RMSE value than ARIMAX-NN model in BBCA, BMRI and BBRI.

Original languageEnglish
Title of host publication7th International Conference on Mathematics - Pure, Applied and Computation
Subtitle of host publicationMathematics of Quantum Computing
EditorsMuhammad Syifa�ul Mufid, Dieky Adzkiya
PublisherAmerican Institute of Physics Inc.
ISBN (Electronic)9780735442917
DOIs
Publication statusPublished - 19 Dec 2022
Event7th International Conference on Mathematics: Pure, Applied and Computation: , ICoMPAC 2021 - Surabaya, Indonesia
Duration: 2 Oct 2021 → …

Publication series

NameAIP Conference Proceedings
Volume2641
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Conference

Conference7th International Conference on Mathematics: Pure, Applied and Computation: , ICoMPAC 2021
Country/TerritoryIndonesia
CitySurabaya
Period2/10/21 → …

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