PENERAPAN GERAK BROWN GEOMETRIK UNTUK MEMPREDIKSI HARGA SAHAM PT. ASTRA INTERNATIONAL Tbk. PADA MASA PANDEMI COVID-19
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Abstract
Prediction results can be used as a reference for making the right decisions, in order to reduce the impact of losses that will occur. One of the models that can be used to predict stock prices is Geometric Brownian Motion. The purpose of this study was to determine the accuracy of the Geometric Brownian Motion model in predicting the stock price of PT. Astra International Tbk, during the Covid-19 pandemic. The data used is daily stock closing data for the period March 2020 to December 2021. The steps taken are collecting data, calculating return values, conducting data normality tests, estimating drift and volatility parameters, predicting stock prices, and calculating MAPE values. The results obtained are the Geometric Brownian Motion model is quite accurate to predict the stock price of PT. Astra International Tbk during the Covid-19 pandemic. This is indicated by the MAPE values ??obtained with 50, 100 and 500 iterations, respectively, which are 4.87%, 3.49% and 3.12%.
Keywords: Stock, Prediction, Geometric Brownian Motion, Covid-19.
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