FORECASTING STOCK PRICES OF PT. BANK RAKYAT INDONESIA USING THE HYBRID ARIMA-BACKPROPAGATION NEURAL NETWORK METHOD

Abstract

PT. Bank Rakyat Indonesia (Persero) Tbk is classified as a blue-chip stock. Although investing in BRI shares has the potential to generate profits, stock price fluctuations can pose risks, making forecasting necessary. The ARIMA model is frequently used to predict such fluctuations, but struggles to capture non-linear patterns. ARIMA is combined with an Artificial Neural Network (ANN), specifically the Backpropagation Neural Network, to address this issue and improve forecasting accuracy. Although Backpropagation is weak in slow convergence, this can be overcome using the Conjugate Gradient Powell Beale (CGB) algorithm. The research results show that the closing stock price data of BRI from January 2023 to February 2024 produced an ARIMA (1,1,1)-Backpropagation [4-4-1] model with higher accuracy, achieving a MAPE of 2.516% and RMSE of 200.1592, Relative to the standalone ARIMA (1,1,1) model, which had a MAPE of 6.203% and RMSE of 421.5896.