Forecasting the Indonesian Sharia Stock Index (ISSI) Using ARIMA: A Study of Data from 2020–2025
DOI:
https://doi.org/10.61166/abqori.v2i3.39Keywords:
Indonesia Sharia Stock Index, Market Capitalization, ARIMA (1,2,1), Time Series, Sharia Capital MarketAbstract
This study aims to forecast the market capitalization of the Indonesian Sharia Stock Index (ISSI) for the 2020-2025 period using the Autoregressive Integrated Moving Average (ARIMA) method as the main approach in time series analysis. The data used consist of the monthly market capitalization of the ISSI obtained from the Indonesia Stock Exchange and official OJK publications related to the development of the sharia capital market. The analysis stages include a stationarity test, model identification through ACF and PACF patterns, parameter estimation, and diagnostic tests to ensure the residuals are white noise and that the model meets feasibility assumptions. The results indicate that ARIMA (1,2,1) is the most suitable model to capture the dynamics of the ISSI market capitalization because it is able to optimally capture the data's autocorrelation structure while also producing stable predictive performance. The forecasting results for the 2024–2025 period indicate a trend of sustained growth, reflecting the strengthening of the fundamental aspects of the Indonesian sharia market as well as increasing investor confidence in sharia-compliant investment instruments. These findings provide important contributions for investors, regulators, and portfolio managers in understanding the prospects of the sharia capital market and in formulating data-driven investment strategies.
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