Implementation of Transfer Function ARIMA Model for Stock Price Prediction

Dynamic economic growth requires stable financing sources, one of which is through the capital market. In stock investment activities, risk and return are two fundamental aspects that are interrelated and must be carefully considered. The volatility of ASII stock prices, influenced by various factors including exchange rates, can create uncertainty in investment decision-making. This study aims to predict the stock price of PT Astra International Tbk (ASII) using a transfer function model approach that integrates the influence of the Indonesian rupiah to US dollar exchange rate as an external variable. The transfer function model is an extension of the ARIMA model that can measure the dynamic relationship between input and output variables. Based on the estimation results, the best model obtained has a transfer function order of (b,s,r) = (1,0,0) with a noise series of (p_n,q_n) = (1,0). The prediction results show that ASII stock price movements tend to be stable with a gradual decline over the next 20 days. Model evaluation demonstrates low error rates, with MAE of 84.19, RMSE of 110.37, and MAPE of 1.65%. These results indicate that the transfer function model is effective in modeling and predicting short-term stock prices with reasonably good accuracy.