Prediksi Pergerakan Harga Saham PT United Tractors Tbk dengan Metode ARIMA Intervensi

Mardhiyah, Nisrina Zaina (2024) Prediksi Pergerakan Harga Saham PT United Tractors Tbk dengan Metode ARIMA Intervensi. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Saham adalah bentuk kepemilikan atau bagian kecil dari kepemilikan suatu perusahaan yang dapat dibeli dan dimiliki oleh individu atau investor. Penelitian ini menggunakan metode Intervensi dalam memodelkan salah satu saham yang konsisten selama 20 tahun berada di LQ45 dan merupakan perusahaan alat berat terbaik di Indonesia yaitu PT United Tractors Tbk (UNTR), data yang digunakan merupakan data penutupan saham(close price) dengan periode 2 Januari 2023 sampai dengan 30 November 2023. Terjadi 2 kali intervensi pada data, kejadian pertama terjadi pada tanggal 28 Februari 2023 yang disebabkan oleh pengumuman resmi dari PT United Tractors terkait pembagian deviden sehingga banyak investor yang tertarik untuk membeli saham, kemudian yang kedua terjadi pada tanggal 28 April 2023 dan disebabkan oleh pembagian dividen sehingga setelah mendapatkan keuntungan, banyak pemegang saham mulai menjual sahamnya. Tedapat dua data training pada penelitian ini dengan periode data training pertama yaitu 2 Januari 2023 – 31 Oktober 2023 dan yang kedua yaitu 2 Januari 2023 – 14 November 2023. Data sebelum intervensi dimodelkan terlebih dahulu dengan model ARIMA lalu setelah didapatkan model terbaik untuk mengidentifikasi orde intervensi dilanjutkan ke pemodelan intervensi, kemudian didapatkan model terbaik yaitu ARIMA(0,1,[3 82]) dengan orde intervensi b=0, s=2, r=0 kemudian didapatkan nilai RMSE nya sebesar 0,167914.
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A stock is a form of ownership or a small part of ownership in a company that can be bought and owned by individuals or investors. This study uses the Intervention method to model one of the stocks that has consistently been in the LQ45 for 20 years and is the best heavy equipment company in Indonesia, namely PT United Tractors Tbk (UNTR). The data used are the closing price data from January 2, 2023, to November 30, 2023. There were two interventions in the data. The first event occurred on February 28, 2023, due to an official announcement from PT United Tractors regarding the distribution of dividends, which attracted many investors to buy the stock. The second event occurred on April 28, 2023, and was due to the dividend distribution, leading many shareholders to sell their shares after receiving their profits. There are two training data sets in this study, with the first training data period being January 2, 2023, to October 31, 2023, and the second being January 2, 2023, to November 14, 2023. The data before the intervention were first modeled using the ARIMA model, and after obtaining the best model to identify the intervention order, the modeling continued with the intervention model. The best model obtained was ARIMA(0,1,[3 82]) with intervention orders b=0, s=2, r=0, and the RMSE value was 0.167914.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	ARIMA, Intervensi, Investor, LQ45, Saham, United Tractors, Intervention, Stock.
Subjects:	H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HB Economic Theory > Economic forecasting--Mathematical models.
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Statistics > 49201-(S1) Undergraduate Thesis
Depositing User:	NISRINA ZAINA MARDHIYAH
Date Deposited:	12 Aug 2024 05:29
Last Modified:	29 Aug 2024 02:20
URI:	http://repository.its.ac.id/id/eprint/114937

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