Evaluating Multivariate Zero-Shot Chronos-2 for Probabilistic Forecasting of Selected Indonesian Banking Stock Return

Daily stock return forecasting is challenging because of low signal-to-noise ratios and changing market dynamics. Time-series foundation models such as Chronos-2 offer a zero-shot forecasting approach, but their effectiveness in emerging markets such as Indonesia remains insufficiently established. This study evaluates Chronos-2 for point and probabilistic forecasting of five LQ45 banking stocks (BBCA, BBNI, BBRI, BBTN, and BMRI). Daily price data from 2016–2026 were transformed into log returns and evaluated using a monthly rolling-origin design. Four configurations were examined: univariate, multivariate, multivariate with calendar covariates, and multivariate with market proxies. Point forecasts were evaluated using root mean squared error (RMSE) and directional accuracy, while probabilistic forecasts were assessed using pinball loss and 90% prediction interval coverage. In the ablation experiment, the multivariate configuration (C2-MV) achieved the lowest aggregate RMSE among the evaluated Chronos-2 configurations. In the multihorizon evaluation, C2-MV achieved lower aggregate RMSE than the random walk at horizons of 1 and 5 sessions (2.6327% vs. 2.6980% and 2.1477% vs. 2.1553%), but performed slightly worse at horizon 20 (2.0324% vs. 2.0305%). Directional accuracy ranged from 46% to 49%. However, the Diebold–Mariano test with Holm correction found no statistically significant predictive difference between C2-MV and the random walk, either in aggregate or consistently across individual stocks (p 0.05). Aggregate 90% prediction interval coverage ranged from 76.74% to 87.49%, indicating undercoverage. Overall, zero-shot multivariate Chronos-2 provides competitive but limited predictive performance, with benefits that are small, horizon-dependent, and not statistically significant relative to simple benchmarks. The findings should be interpreted cautiously because the sample was selected ex post and is limited to five Indonesian banking stocks