Modeling Autoregressive Integrated Moving Average (ARIMA) and Forecasting of PT Unilever Indonesia Tbk Share Prices During the COVID-19 Pandemic Period

Abstract

ARIMA method is one method that can be used in predicting the movement of company shares. This study aims to obtain a time series model with the ARIMA method and predict stock price data of PT Unilever Indonesia Tbk from January 2020 to June 2020. The best model that fits the data based on the MSE value is the ARIMA(1,1,1) model. The ARIMA model (1,1,1) shows a match between real data and the predicted value. This model is then used for forecasting the next 14 days. Data on UNVR stock price from January 2020 to June 2020 are below 8000, this seems to correlate with the current conditions, namely the Covid-19 pandemic. Forecasting for the next 14 days (two weeks) from July 1, 2020 to July 14, 2020, the forecast values have a trend decrease, the trend of PT. Unilever Indonesia Tbk has been going down since January 2020. This seems to have occurred as an implication of the Covid-19 pandemic from January 2020 to the present.