Comparison of Holt and Brown's Double Exponential Smoothing Methods in The Forecast of Moving Price for Mutual Funds

  • Achmad Muchayan Department of Information Systems, Faculty of Computer Science, Narotama University, Indonesia (ID)
Keywords: Reksadana, Double Exponential Smoothing, Brown’s, Holt, forecast

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Abstract

Mutual funds are one of the promising investment media where the risk is directly proportional to the size of investment growth. With proper forecasting of NAV price movements will greatly help investors to make purchases and sales transactions, therefore the authors offer the use of two different forecasting methods namely Brown's method and Holt method in double exponential smoothing to get predictions of NAV price movements. The effectiveness of the use of the method will be measured from the value of Mean Average Percentage Error (MAPE). From the calculation results obtained by the data that the Holt method produces forecasting for 1809,657 with the best α value of 0.6 and MAPE of 0.644373568, while for the Holt method obtained forecasting value of 1810,924 with the α value and the best β value of 0.9 and 0.1 and the smaller MAPE value of 0.61604262 . Looking at the amount of MAPE generated, the Holt method has a smaller forecasting error rate when compared to Brown’s method.



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References

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Published
2020-02-06
Section
Articles
How to Cite
[1]
A. Muchayan, “Comparison of Holt and Brown’s Double Exponential Smoothing Methods in The Forecast of Moving Price for Mutual Funds”, J. Appl. Sci. Eng. Technol. Educ., vol. 1, no. 2, pp. 183-192, Feb. 2020.