Peramalan Harga Saham PT. Indofood CBP Sukses Makmur Tbk. dengan Model Intervensi ARIMA

Rochman, Abima Aunur (2024) Peramalan Harga Saham PT. Indofood CBP Sukses Makmur Tbk. dengan Model Intervensi ARIMA. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Saham merupakan bentuk indikasi partisipasi modal individu dalam suatu perseroan terbatas, memberikan hak klaim atas penghasilan dan kekayaan perusahaan. Harga saham, tercermin dalam pasar modal merupakan indikator keberhasilan manajemen perusahaan. Pasar saham yang berkembang positif berkontribusi pada pertumbuhan ekonomi, seperti terlihat dari kapitalisasi saham yang meningkat. PT Indofood CBP Sukses Makmur Tbk. (ICBP) yang beroperasi di sektor makanan dan merupakan pemimpin pasar mie instan di Indonesia. menghadapi ancaman dari krisis Rusia-Ukraina pada tahun 2022 yang membuat harga penurunan laba dan harga saham perusahaan. Penelitian ini menggunakan model intervensi ARIMA untuk meramalkan harga saham ICBP selama periode krisis. Tujuan dari penelitian ini yaitu untuk memodelkan dan melakukan peramalan pada harga close saham ICBP. Berdasarkan hasil analisis yang telah dilakukan, untuk pembagian in-sample berjumlah 475 data dan out-sample berjumlah 10 data didapatkan model terbaik Intervensi ARIMA ([1 4 31 43], 1, 0) dengan nilai sMAPE 0,37%. Sementara untuk pembagian in-sample berjumlah 480 data dan out-sample berjumlah 5 data didapatkan model terbaik Intervensi ARIMA ([1 4 31], 1, 0), dengan nilai sMAPE 0,302%.
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Stocks represent an indication of individual capital participation in a limited liability company, granting rights to claim earnings and company wealth. Stock prices, reflected in the capital market, serve as indicators of management success. A positively developing stock market contributes to economic growth, as seen from increased stock capitalization. PT Indofood CBP Sukses Makmur Tbk. (ICBP), operating in the food sector and leading the instant noodle market in Indonesia, faced threats from the Russia-Ukraine crisis in 2022, resulting in decreased company profit and stock prices. This study utilized the intervention ARIMA model to forecast ICBP stock prices during the crisis period. The aim was to model and forecast the closing prices of ICBP stocks. Based on the analysis, the best model for in-sample 475 data and out-sample 10 data divisions was found to be Intervention ARIMA ([1 4 31 43], 1, 0), with value of out-sample sMAPE is 0,37%. Meanwhile, for in-sample 480 data and out-sample 5 data divisions, the best model was Intervention ARIMA ([1 4 31], 1, 0), with value of out-sample sMAPE is 0,302%.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	ARIMA, Intervensi, Krisis Rusia-Ukraina, PT Indofood CBP Sukses Makmur Tbk. (ICBP), Saham. ARIMA, Intervention, PT Indofood CBP Sukses Makmur Tbk. (ICBP), Russia-Ukraine Crisis, Stocks.
Subjects:	H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HB Economic Theory > Economic forecasting--Mathematical models. H Social Sciences > HG Finance > HG4915 Stocks--Prices
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Statistics > 49201-(S1) Undergraduate Thesis
Depositing User:	Abima Aunur Rochman
Date Deposited:	08 Aug 2024 11:53
Last Modified:	08 Aug 2024 11:53
URI:	http://repository.its.ac.id/id/eprint/114661

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