Abstract:
The conditions of the Covid-19 pandemic had a significant impact on the economic sector. In Indonesia, the stock market is under great pressure, so that the value of the Jakarta Composite Index (JCI) fluctuates greatly. Various policies have been carried out by the government to maintain the stability of the JCI value. Forecasting the value of JCI, especially during the Covid-19 pandemic, is very important to do in order to evaluate applicable policies. For this reason, forecasting is carried out based on the ARIMA approach and nonparametric regression with the Fourier series estimator. ARIMA modeling shows insignificant parameters. Meanwhile, forecasting with the Fourier series shows satisfactory results. Forecasting on out-sample data shows a good MAPE-out-sample value of 9.34%. Meanwhile, the MAPE-in-sample is 1.57%. Thus, it is predicted that the JCI value will still fluctuate, but not significantly so that the existing policies can be maintained.
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