Comparison Of Artificial Neural Network Backpropagation and Garch Methods In Predicting Stock Price (Case Study: Indosat Shares 2012 – 2022)

Abstract

Abstract: One of the problems encountered in the forecasting process is the problem of heteroscedasticity. Heteroscedasticity occurs a lot, especially in stock data. Pt Share Price Indosat (tbk) from March 6 2012 – January 18 2022 has fluctuated from time to time, so the variance is heteroscedasticity. The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model and Artificial Neural Network Backpropagation (ANNBP) are methods that can be used on data with heteroscedasticity. The aim of this research is to obtain models and forecasting results from GARCH and ANN Backpropagation. In this study, the two models were compared based on the smallest MAPE value. This study uses daily data on the closing of Indosat shares. Forecasting is done on Indosat stock closing data, the total data is 2453 data divided into two parts, namely 80% training data totaling 1962 data and 20% training data totaling 491 data. Forecasting results from the GARCH model obtained a MAPE value of 11.04%, and the ANN Backpropagation model with 7 input layers, 20 hidden layers, obtained a MAPE value of 7.01%. Thus, the best model for predicting Indosat's share price in this study is the backpropagation model.