Stock exchange prediction in ASEAN countries using fourier series estimator approach

Global economic volatility is a major challenge to the stability of the world economy. In a macroeconomic perspective, the stock exchange is an important reference for maintaining economic stability. The high level of existence of the capital market in a country’s economy is accompanied by the high sensitivity of the capital market to information. As a result, information that causes the market to overreact can affect activities in the capital market and have an impact on global economic stability, especially in the context of economic globalization in the ASEAN region as the world’s new economic magnet. Efforts to maintain ASEAN economic stability can be done through predictions using nonparametric time series modeling, such as Fourier series estimators. In the analysis, the best model based on the minimum GCV value is the Fourier series based on the sine function with Gamma (γ). The model has an optimum oscillation parameter value (k) of 1 with an GCV value of 771.204 and coefficient of determination or R2 of 95.978%. This research is expected to provide useful information for investors and regulators regarding optimal investment recommendations, reduce the risk of loss, and improve market efficiency. In addition, this research is also in line with the achievement of the eighth Sustainable Development Goals (SDGs) goal, which is to contribute to the integration of planning and sustainable economic development in ASEAN countries, especially in optimizing economic policies to achieve future economic stability.