Application of the Holt-Winters Method in Bond Yield Analysis and Prediction Using R

Holt-Winters Bond Yield MAE

Authors

  • Rado Yendra Department of Mathematics, Faculty of Science and Technology, Universitas Islam Negeri Sultan Syarif Kasim Riau
  • Restu Prasetyo Department of Mathematics, Faculty of Science and Technology, Universitas Islam Negeri Sultan Syarif Kasim Riau
  • Salwa Zahratul Jannah Department of Mathematics, Faculty of Science and Technology, Universitas Islam Negeri Sultan Syarif Kasim Riau
  • Surya Nengsih Department of Mathematics, Faculty of Science and Technology, Universitas Islam Negeri Sultan Syarif Kasim Riau
  • Ucok Rio Revan HSB Department of Mathematics, Faculty of Science and Technology, Universitas Islam Negeri Sultan Syarif Kasim Riau
  • Zahra Zakiyah Department of Mathematics, Faculty of Science and Technology, Universitas Islam Negeri Sultan Syarif Kasim Riau
  • Muhammad Marizal Department of Mathematics, Faculty of Science and Technology, Universitas Islam Negeri Sultan Syarif Kasim Riau
June 21, 2025
June 25, 2025

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Forecasting bond yields is done with the Holt-Winters method using the R application. The data used were obtained from the Investasi.id website with the period January 2013 to December 2022. Two models are applied in this study, namely Holt-Winters Additive and Holt-Winters Multiplicative. To assess the accuracy of the forecasting results, Mean Absolute Error (MAE) is used. The results show that both models are able to produce fairly accurate predictions with low MAE values. The Holt-Winters Multiplicative model is slightly superior to the Additive model, but the difference is not too large. Therefore, the Holt-Winters method can be used as a reliable approach in analyzing and predicting bond yields to aid decision-making in finance.