Forecasting Jakarta Islamic Index Stock Prices: A Comparative Study of ARIMA and Holt’s Double Exponential Smoothing

The capital market is one of the most popular investment options today. In the capital market, stock price prediction is an important issue for investors so that a good forecasting method is needed as a basis for decision making in transactions. One of the commonly used forecasting methods is ARIMA. However, in ARIMA modelling, several assumptions must be met such as the assumption of stationarity, parameter significance, and white noise assumptions. The Double Exponential Smoothing Holt method is one of the forecasting methods where the only assumption that must be met is the assumption of stationarity. The purpose of this study is to obtain the best model using a time series analysis approach, namely the ARIMA method and Double Exponential Smoothing Holt to forecast the Jakarta Islamic Index stock price for 10 periods in the future. Based on the analysis that has been done, the Jakarta Islamic Index stock price forecast should be done using the ARIMA method with the ARIMA (1,1,0) model because it has the smallest MAPE value, which is 1.5292%.