COMPARISON OF THE ACCURACY OF BROWN'S AND HOLT'S DOUBLE EXPONENTIAL SMOOTHING IN LQ45 STOCK PRICE FORECASTING

R. Gunawan Santosa and Antonius Rachmat Chrismanto and Willy Sudiarto Raharjo (2024) COMPARISON OF THE ACCURACY OF BROWN'S AND HOLT'S DOUBLE EXPONENTIAL SMOOTHING IN LQ45 STOCK PRICE FORECASTING. International Journal of Information Technology and Computer Science Applications (IJITCSA), 2 (1). pp. 1-62. ISSN 2964-3139

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Abstract

As of May 2022, 787 stocks are listed on the Indonesia Stock Exchange (IDX), and the number of stock indices in Indonesia to date is 38. One interesting and important stock index is the LQ45 index. The LQ45 index contains 45 stocks that have undergone a selection process with high liquidity and several criteria such as market capitalization, liquidity, company fundamental conditions, and company growth prospects.Theforecasting process has two essential things: the data and the correct forecasting method. Two forecasting methods that can be used are Brown and Holt's Double Exponential Smoothing (DES). This study examines two methods with the lowest accuracy error in forecasting the LQ45 stock price data. This research was conducted in 2022 using shares in the LQ45 stock index for six years (2016-2021) as training data (modeling data) and using two months of data (January and February 2022) as testing data.Mean Absolute Percentage Error (MAPE) is used to measure the accuracy of the error. The analysis methods used to compare the MAPE of the two methods are the F test for variance similarity, Boxplot, t-test to test paired means with different variance cases, and Wilcoxon signed rank test to test paired means nonparametric statistics. The result is that the MAPE average with Holt's DES method is smaller than the average MAPE with Brown's DES method. This is supported by the t-test for paired means with different cases of variance and also supported by the Wilcoxon signed exact rank test. Meanwhile, the MAPE standard deviation with Holt's DES method is smaller than the MAPE standard deviation with Brown's DES method. This is supported by the F test to test the variance similarity and visually supported by a Boxplot diagram. From this study, LQ45 stocks with the smallest MAPE value accuracy are ICBP stocks. In general, based on the MAPE value, Holt's DES method is better than Brown's DES method in predicting the prices of stocks in the LQ45 index.

Item Type:	Article
Uncontrolled Keywords:	double exponential smoothing, brown’s method, holt’s method, LQ45 stock forecasting
Subjects:	T Teknologi > Teknologi (Umum)
Divisions:	Fakultas Teknologi Informasi
Depositing User:	Beatrix Stefany
Date Deposited:	12 Sep 2024 06:41
Last Modified:	12 Sep 2024 06:41
URI:	http://katalog.ukdw.ac.id/id/eprint/9188

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