APPLICATION OF SINGULAR SPECTRUM ANALYSIS METHOD IN FORECASTING INDONESIA COMPOSITE DATA

Abstract

The wellbeing of the public is a key state objective. To attain this objective, developments are required, including economic development. Economic development can be initiated by enhancing a state's economic growth, as it describes the state's economic conditions. Forecasting future economic conditions is one of the things that may be done to ensure economic stability. Investment business can be utilized as indicators, with the Indonesia Composite Index (ICI) being one of them. Singular Spectrum Analysis (SSA) is one of the available techniques for forecasting. Due to the fact that SSA is non-parametric, no assumptions must be met, resulting in high performance and adaptability. Thus, SSA will be utilized for forecasting ICI. The ICI data utilized is obtained from Yahoo Finance. On the basis of the forecasting result for the closing price of ICI from March 2, 2020 to March 28, 2022 using SSA, which yielded MAPE values of 1.59% for training data and 4.84% for testing data, it can be inferred that this method is accurate. The outcome also revealed that the tendency tends to rise over the next few periods.