Prediction Stock Price of Shanghai Pudong Development Bank with ARIMA and ARCH/GARCH Models

Abstract

This research was conducted to predict stock prices from July 2024 to December 2024. The stock chosen for prediction was Shanghai Pudong Development Bank. The ARIMA and ARCH/GARCH models were used to make these predictions. The findings of this study revealed the ARIMA(3,1,3) model and the ARCH/GARCH(1,1) model. The ARCH/GARCH model was selected due to the heteroskedasticity present in the ARIMA(3,1,3) model. Applying the ARCH/GARCH(1,1) method resolved the heteroskedasticity issue, leading to more accurate stock price predictions.