Performance of mutual fund could be reflected from several factor, one of which are groth of Net Asset Value (NAV) and price of said mutual fund. The NAV growth of Indonesia Exchange Traded Fund (ETF) are considered one of the most significant, reaching 286% growth value in 2016. Besides, ETF industry in Indonesia itself are still at initial stage of growth. Therefore, information regarding this investment instrument are fairly unknown to public. This research aim to analyse price forecasting of Indonesia ETF using ARIMA method. Weekly price data collected and analysed within period of February 2014 to July 2017, and then forecasted for the next ten weeks. Sample of this ETF are taken from actively traded mutual fund in Indonesia Stock Exchange. Results shows that forecasting model of ARIMA (0,1,1) are the best model to forecast Premier ETF price on ETF IDX30, Sharia Premier ETF JII, and ETF Premier LQ45. Meanwhile, ETF Premier Indonesia Consumer, the best forecasting model are by using ARIMA MA(1) MA(4). This results are also supported by accuracy analysis, which shows that each of ETF Premier reached over 80% of accuracy.
Keywords: ARIMA, Exchange Traded Fund, Forecasting, Mutual Fund
