H-WEMA: A New Approach of Double Exponential Smoothing Method

A popular smoothing technique commonly used in time series analysis is double exponential smoothing. Basically, it's an improvement of simple exponential smoothing which does the exponential filter process twice. Many researchers had developed the technique, hence Brown's double exponential smoothing and Holt's double exponential smoothing. Here, we introduce a new approach of double exponential smoothing, called H-WEMA, which combines the calculation of weighting factor in weighted moving average with Holt's double exponential smoothing method. The proposed method will then be tested on Jakarta Stock Exchange (JKSE) composite index data. The accuracy and robustness level of the proposed method will then be examined by using mean square error and mean absolute percentage error criteria, and be compared to other conventional methods. Copyright of Telkomnika is the property of Department of Electrical Engineering, Ahmad Dahlan University and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract