Constructing a predicting model for JCI return using adaptive network-based Fuzzy Inference System
Journal Title: Jurnal Keuangan dan Perbankan - Year 2019, Vol 23, Issue 1
Abstract
The high price fluctuations in the stock market make an investment in this area relatively risky. However, higher risk levels are associated with the possibility of higher returns. Predicting models allows investors to avoid loss rate due to price fluctuations. This study uses the ANFIS (Adaptive Network-based Fuzzy Inference System) to predict the Jakarta Composite Index (JCI) return. Forecasting JCI movement is considered to be the most influential predictor, consisting of Indonesia's real interest rate, real exchange rate, US real interest rate, and WTI crude oil price. The results of this study point out that the best model to predict JCI return is the ANFIS model with pi membership function. The predicting model shows that the real exchange rate is the most influential factor to the JCI movement. This model is able to predict the trend direction of the JCI movement with an accuracy of 83.33 percent. This model also has better performance than the Vector Error Correction Model (VECM) based on RMSE value. The ANFIS performance is relatively satisfactory to allow investors to forecast the market direction. Thus, investors can immediately take preventive action towards any potential for turmoil in the stock market.
Authors and Affiliations
Endy Jeri Suswono, Dedi Budiman Hakim, Toni Bakhtiar
Keywords
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- EP ID EP661705
- DOI 10.26905/jkdp.v23i1.2521
- Views 103
- Downloads 0
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