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Abstract

Purpose – This study aims to predict the weekly stock price of Spotify Technology SA (SPOT) using Support Vector Regression (SVR) and to evaluate investment feasibility based on Net Present Value (NPV), Internal Rate of Return (IRR), Sharpe Ratio, and Sortino Ratio.
Methods – Weekly stock price data from October 2022 to May 2026 (190 observations) were analyzed using SVR with lag selection based on PACF and kernel optimization through two-stage grid search. Investment feasibility was evaluated using NPV, IRR, Sharpe Ratio, and Sortin o Ratio.
Findings – The linear kernel SVR achieved the best performance with MAPE of 5.44% (training) and 4.61% (testing). The NPV was positive at USD 19,685.86. However, the IRR of 1.197% per week, Sharpe Ratio of 0.3703, and Sortino Ratio of 17.77 consistently indicate that Spotify stock during the prediction period is not financially viable for investment.
Implication – The findings emphasize the importance of combining return- and risk-based measures when evaluating investment feasibility, particularly for high-volatility assets.
Originality – Unlike prior studies that focus mainly on forecasting accuracy, this study integrates SVR-based prediction and investment feasibility analysis using NPV, IRR, Sharpe, and Sortino ratios within within a unified framework.


Abstrak
Tujuan – Penelitian ini bertujuan untuk memprediksi harga saham mingguan Spotify Technology SA (SPOT) menggunakan metode Support Vector Regression (SVR) serta mengevaluasi kelayakan investasi berdasarkan Net Present Value (NPV), Internal Rate of Return (IRR), Sharpe Ratio, dan Sortino Ratio.
Metode – Data harga saham mingguan periode Oktober 2022 hingga Mei 2026 (190 observasi) dianalisis menggunakan SVR dengan pemilihan lag berdasarkan PACF dan optimasi kernel melalui grid search dua tahap.
Temuan – Kernel linear SVR menghasilkan performa terbaik dengan MAPE sebesar 5,44% pada data pelatihan dan 4,61% pada data pengujian. NPV bernilai positif sebesar USD 19.685,86. Namun, IRR sebesar 1,197% per minggu, Sharpe Ratio sebesar 0,3703, dan Sortino Ratio sebesar 17,77 secara konsisten menunjukkan bahwa saham Spotify pada periode prediksi tidak layak secara finansial untuk diinvestasikan.
Implikasi – Temuan penelitian menekankan pentingnya mengombinasikan indikator berbasis imbal hasil dan risiko dalam mengevaluasi kelayakan investasi, khususnya pada aset dengan volatilitas tinggi.
Orisinalitas – Berbeda dengan penelitian sebelumnya yang terutama berfokus pada akurasi peramalan, penelitian ini mengintegrasikan prediksi berbasis SVR dan analisis kelayakan investasi menggunakan NPV, IRR, Sharpe Ratio, dan Sortino Ratio dalam satu kerangka yang terpadu.

Keywords

Prediksi harga saham Support Vector Regression Net Present Value Sharpe Ratio Sortino Ratio

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Copyright (c) 2026 M. Fariz Fadillah Mardianto, Ferissa Maulida Ismi, Anggita Nariswari, Amelia Fatihah, Idrus Syahzaqi

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How to Cite
Mardianto, M. F. F., Ismi, F. M., Nariswari, A., Fatihah, A., & Syahzaqi, I. (2026). Prediksi dengan Support Vector Regression dan analisis kelayakan investasi pada harga saham Spotify. Jurnal Kebijakan Ekonomi Dan Keuangan, 5(1), 17–29. https://doi.org/10.20885/JKEK.vol5.iss1.art2
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