Analysis of the Jakarta Islamic Index (JII) Using the Autoregressive Integrated Moving Average (ARIMA) Method During and After the COVID-19 Pandemic
DOI:
https://doi.org/10.59890/ijsas.v4i10.78Keywords:
ARIMA, Jakarta Islamic Index (JII), COVID-19, Stock Price Movements, Time SeriesAbstract
This study aims to identify the best Autoregressive Integrated Moving Average (ARIMA) model for analysing movements of the Jakarta Islamic Index (JII) during the COVID-19 pandemic (2020-2022) and after the pandemic (2023-2025), and to compare the resulting models. Daily JII closing prices from Investing.com were analysed using stationarity tests, model identification, parameter estimation, and residual diagnostic tests. The results indicate that ARIMA([2,3],1,[9]) is the best model for the pandemic period, while ARIMA([1],1,[13]) is the best model for the post-pandemic period. The post-pandemic model has lower AIC and SIC values (6,265914 and 6,291549) than the pandemic model (6,946495 and 6,977820), indicating better model fit. These differences suggest that the pandemic altered JII movement patterns and provide references for Sharia-compliant investment decisions.
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