Forecasting PT Triputra Agro Persada Tbk (TAPG) Share Prices Using Multivariate Time Series Analysis
DOI:
https://doi.org/10.36456/jstat.vol16.no2.a8344Keywords:
Cointegration, Multivariate Time Series, VAR, VECMAbstract
An increase in the price of crude palm oil (CPO) positively affects the share prices of companies engaged in the palm oil industry. PT Triputra Agro Persada Tbk (TAPG) 2021 was recorded as one of the companies with the CPO business that received the most significant capital gain. Prediction or forecasting of stock prices in the future is crucial for investors as a consideration before deciding to invest. Many kinds of research on stock price prediction have been carried out previously using univariate methods. Univariate modeling cannot represent the influence of other variables on stock prices. Forecasting with the influence of other variables can be done with multivariate time series analysis. This study aims to analyze the multivariate time series of TAPG stock prices and the factors that influence them. Based on the research results, data on TAPG stock prices and CPO prices are cointegrated, so the multivariate time series model used is the vector error correction model (VECM). In the VECM model, the optimum lag used is lag 11. In the long run, CPO prices significantly affect TAPG stock prices.
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