PENERAPAN MODEL ARIMAX-GARCH DALAM PERAMALAN INDEKS HARGA SAHAM

Gusti, Resi Tri Anugrahing (2017) PENERAPAN MODEL ARIMAX-GARCH DALAM PERAMALAN INDEKS HARGA SAHAM. S1 thesis, Universitas Pendidikan Indonesia.

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Official URL: http://repository.upi.edu

Abstract

Pasar modal adalah pasar dari berbagai instrument keuangan (sekuritas) jangka panjang yang dapat diperjualbelikan, baik dalam bentuk hutang (obligasi) maupun modal sendiri (saham) yang diterbitkan pemerintah atau pemilik saham. Kegiatan yang terjadi di pasar modal adalah kegiatan investasi. Indeks harga saham merupakan salah satu pedoman bagi investor untuk melakukan investasi di pasar modal. Peramalan terhadap indeks harga saham menjadi penting agar dapat membantu investor untuk memprediksi keuntungan yang akan diperoleh. Model yang digunakan untuk peramalan indeks harga saham di pasar modal dalam penelitian ini adalah model ARIMAX-GARCH. Model ARIMAX adalah model ARIMA dengan variabel eksogen. Selain itu, pendekatan Generalized Autoregresive Conditional Heteroscedasticity (GARCH) untuk model varians pada peramalan indeks harga saham. Dalam penelitian ini akan dijelaskan prosedur pembentukan model ARIMAX-GARCH dengan studi kasus yang digunakan data Indek Harga Saham Gabungan dan data Kurs Dollar sebagai variabel eksogen. Hasil peramalan Indeks Harga Saham Gabungan dengan model ARIMAX-GARCH menunjukan bahwa data hasil peramalan mendekati data aktual Indeks Harga Saham Gabungan dengan nilai MAPE sebesar 0.3347%.;---Capital market is market from a variety of long-term financial instruments that can be merchantability, in the form of debt and equity that issued by the government or shareholders. The activity in capital market is investment activities. Share price index is one of the guidelines for investors in capital market. Forecasting about share price index become essential in order to help investors to predict the gains that will be acquired. Model that used to forecasting share price index in capital market in this research is ARIMAX-GARCH model. ARIMAX model is ARIMA model with exogenous variable. In addition, Generalized Autoregresive Conditional Heteroscedasticity (GARCH) for variance model in forecasting share price index. In this research will be explained the procedure of formation of ARIMAX-GARCH model with case study that used is data of Indonesia Composite Index and Exchange Rate of Dollar as exogenous variable. The result of forecasting Indonesia Composite Index with ARIMAX-GARCH model is data of forecasting approach data actual of Indonesia Composite Index with MAPE value is 0.3347%.

Item Type: Skripsi,Tesis,Disertasi (S1)
Additional Information: No. Panggil : S MAT GUS p-2017; Pembimbing : I. Entit Puspita, II. Fitriani Agustina.
Uncontrolled Keywords: ARIMAX, GARCH, indeks harga saham, kurs dollar, ARIMAX, GARCH, share price index, exchange rate.
Subjects: Q Science > QA Mathematics
Divisions: Fakultas Pendidikan Matematika dan Ilmu Pengetahuan Alam > Jurusan Pendidikan Matematika > Program Studi Matematika (non kependidikan)
Depositing User: Mrs. Santi Santika
Date Deposited: 01 Feb 2018 04:39
Last Modified: 01 Feb 2018 04:39
URI: http://repository.upi.edu/id/eprint/28967

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