ABSTRACT
The global decrease in the price of Crude Palm Oil (CPO) has affected the performance of share prices in Astra Agro Lestari, Tbk (Code: AALI). However, this financial series data is highly volatile in both mean and variance. Therefore, the ARIMA model is one of the ways to deal with this error. This study, therefore, aims to determine the best ARIMA model to forecast the series of AALI from August 2016 to August 2019. The findings suggest that ARIMA (1,1,1) is the best-selected model due to its very significant p-value (less than 0.0001), which showed that the model is best for forecasting. The model is then used to establish the prediction of AALI share prices for the next 30 days.
