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Abstract
Stock is one type of long-term investment in the capital market. The stock movement indicator that is most often used in analysis by investors is the Indonesia Composite Index (ICI). ICI data is a variety of time series data, so it can be analyzed using forecasting. One forecasting method that can be used is the wavelet thresholding method. The wavelet threshold can analyze stationary, non-stationary, and nonlinear time series data by producing smooth estimates. The wavelet threshold has a wavelet filter and threshold parameters and threshold functions that can be used in analyzing. In this study MSE was assessed from several wavelet filters namely haar, daubechies, and coiflets filters at levels 1 to 7 with the thresholding function namely soft thresholding and thresholding parameters, namely minimax thresholding and sure thresholding. The data used is IHGS data in 2018 totaling 240 data. Based on the data analysis performed, MSE was obtained which means that the best filter provided in order 2 wavelet coiflet filter at level 2 and thresholding parameter is sure of thresholding with MSE value of 0.0094
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