Peramalan Harga Jual (Buyback) Emas Antam Menggunakan Model Fungsi Transfer terhadap Kurs Transaksi USD/IDR

Pratama, Fajar Wahyu (2025) Peramalan Harga Jual (Buyback) Emas Antam Menggunakan Model Fungsi Transfer terhadap Kurs Transaksi USD/IDR. Other thesis, Institut Teknologi Sepuluh Nopember.

Text 5002211042-Undergraduate_Thesis.pdf - Accepted Version Restricted to Repository staff only Download (3MB) | Request a copy

Abstract

Emas merupakan salah satu instrumen investasi yang banyak diminati masyarakat Indonesia karena nilainya relatif stabil dan cenderung meningkat dalam jangka panjang. Salah satu bentuk investasi emas yang populer adalah emas produksi Antam dengan harga jual kembali (buyback) yang fluktuatif dan dipengaruhi oleh berbagai faktor ekonomi, terutama nilai kurs transaksi USD/IDR. Keterkaitan dinamis antara harga jual buyback emas Antam dan kurs transaksi USD/IDR, model fungsi transfer digunakan karena kemampuannya dalam merepresentasikan hubungan sebab akibat secara eksplisit antar variabel. Penelitian ini bertujuan untuk meramalkan harga buyback emas Antam menggunakan pendekatan model fungsi transfer, dengan kurs transaksi USD/IDR sebagai variabel input. Data historis bulanan dari Januari 2014 hingga Maret 2025 digunakan untuk membangun dan membandingkan beberapa struktur model fungsi transfer. Hasil identifikasi menunjukkan tiga model terbaik, yaitu model fungsi transfer dengan orde (56,0,0), (35,0,0), dan (0,0,1). Meskipun model (56,0,0) memiliki nilai MAPE terkecil sebesar 13,20%, serta model (35,0,0) sebesar 15,22%, model dengan orde (0,0,1) dipilih sebagai model utama karena lebih responsif terhadap perubahan nilai tukar terkini dan memiliki struktur yang lebih sederhana serta efisien sesuai prinsip parsimoni model. Model ini menghasilkan nilai MAPE sebesar 14,38% dan disertai komponen noise ARIMA(1,0,0) yang menunjukkan kemampuan menangkap arah pergerakan harga secara lebih aktual, khususnya dalam konteks prediksi jangka pendek. Sementara itu, model (56,0,0) dan (35,0,0) tetap relevan untuk analisis jangka panjang karena mempertimbangkan pengaruh historis nilai tukar yang lebih luas. Hasil peramalan hingga September 2025 menunjukkan tren kenaikan harga yang moderat, mencerminkan sensitivitas harga emas terhadap fluktuasi nilai tukar. Model ini diharapkan dapat dimanfaatkan sebagai alat bantu dalam pengambilan keputusan di sektor logam mulia, baik oleh investor individu, pelaku pasar, maupun pembuat kebijakan.
==================================================================================================================================
Gold is one of the most popular investment instruments among Indonesians because its value is relatively stable and tends to increase in the long term. One popular form of gold investment is Antam-produced gold, which has a fluctuating buyback price influenced by various economic factors, particularly the USD/IDR exchange rate. The dynamic relationship between Antam gold buyback prices and the USD/IDR exchange rate is modeled using a transfer function model due to its ability to explicitly represent causal relationships between variables. This study aims to forecast Antam gold buyback prices using a transfer function model approach, with the USD/IDR exchange rate as the input variable. Monthly historical data from January 2014 to March 2025 were used to build and compare several transfer function model structures. The identification results indicate three best models: the transfer function model with orders (56,0,0), (35,0,0), and (0,0,1). Although the (56,0,0) model has the smallest MAPE value of 13.20%, and the (35,0,0) model has a value of 15.22%, the model with order (0,0,1) was selected as the main model because it is more responsive to current exchange rate changes and has a simpler and more efficient structure in accordance with the principle of model parsimony. This model produces a MAPE value of 14.38% and is accompanied by an ARIMA(1,0,0) noise component, indicating its ability to capture price movement trends more accurately, particularly in the context of short-term predictions. Meanwhile, the (56,0,0) and (35,0,0) models remain relevant for long-term analysis as they consider the broader historical influence of exchange rates. Forecast results up to September 2025 show a moderate upward price trend, reflecting the sensitivity of gold prices to exchange rate fluctuations. This model is expected to be utilized as a decision-making tool in the precious metals sector, by individual investors, market participants, and policymakers alike.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Harga Emas, Kurs USD/IDR, ARIMA, Model Fungsi Transfer, Peramalan, Harga Jual (buyback) Emas Gold Price, USD/IDR Exchange Rate, ARIMA, Transfer Function Model, Forecasting, Buyback Price of Gold
Subjects:	Q Science > QA Mathematics > QA280 Box-Jenkins forecasting
Divisions:	Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User:	Fajar Wahyu Pratama
Date Deposited:	29 Jul 2025 10:11
Last Modified:	29 Jul 2025 10:11
URI:	http://repository.its.ac.id/id/eprint/122878

Actions (login required)

View Item