Peramalan Harga Emas Global Berdasarkan M2 Money Stock dan Indeks S&P 500 Menggunakan Model Fungsi Transfer Multi Input

Rahmadeni, Putri Fradila (2026) Peramalan Harga Emas Global Berdasarkan M2 Money Stock dan Indeks S&P 500 Menggunakan Model Fungsi Transfer Multi Input. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Emas global merupakan salah satu instrumen investasi yang berperan sebagai aset safe haven dan sensitif terhadap berbagai kondisi ekonomi global. Pergerakan harga emas
dipengaruhi oleh berbagai faktor, di antaranya likuiditas global yang direpresentasikan oleh M2 Money Stock serta sentimen pasar yang diwakili oleh Indeks S&P 500. Penelitian ini bertujuan untuk meramalkan harga emas global menggunakan pendekatan model fungsi transfer multi-input dengan kedua variabel tersebut sebagai deret input. Data yang digunakan berupa data bulanan periode Januari 2018 hingga Februari 2026. Beberapa model fungsi transfer multi-input dibangun dan dievaluasi berdasarkan nilai Mean Absolute Percentage Error (MAPE). Hasil penelitian menunjukkan bahwa model terbaik adalah model fungsi transfer multi-input berorde (25,0,2)(7,0,0) dengan deret noise ARIMA([5],0,0), yang menghasilkan nilai MAPE sebesar 11%. Model ini dipilih karena mampu merepresentasikan hubungan dinamis antara variabel input dan harga emas global dengan lebih baik dibandingkan model yang menggunakan lag lebih pendek. Hasil peramalan menunjukkan tren kenaikan harga emas global selama sepuluh bulan ke depan. Temuan ini menunjukkan bahwa model fungsi transfer multi-input dapat dimanfaatkan sebagai alat bantu dalam mendukung pengambilan keputusan di bidang investasi, ekonomi, dan keuangan.
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Global gold is one of the investment instruments that serves as a safe-haven asset and is highly sensitive to various global economic conditions. Gold price movements
are influenced by several factors, including global liquidity, represented by M2 Money Stock, and market sentiment, represented by the S&P 500 Index. This study aims to forecast global gold prices using a multi-input transfer function model with these two variables as the input series. The data used consist of monthly observations from January 2018 to February 2026. Several multi-input transfer function models were developed and evaluated based on the Mean Absolute Percentage Error (MAPE). The results indicate that the best model is the multi-input transfer function model with order (25,0,2)(7,0,0) and an ARIMA([5],0,0) noise series, producing a MAPE value of 11%. This model was selected because it is better able to represent the dynamic relationship between the input variables and global gold prices than models with shorter lag structures. The forecasting results indicate an upward trend in global gold prices over the next ten months. These findings suggest that the multi-input transfer function model can serve as a useful tool to support decision-making in the fields of investment, economics, and finance

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Harga Emas Global, Safe Haven, M2 Money Stock, Indeks S&P 500, Fungsi Transfer Multi Input, Global Gold Price, Safe-Haven Asset, M2 Money Stock, S&P 500 Index, Multi-Input Transfer Function
Subjects:	Q Science Q Science > QA Mathematics Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry)
Divisions:	Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User:	Putri Fradila Rahmadeni
Date Deposited:	24 Jul 2026 02:06
Last Modified:	24 Jul 2026 02:06
URI:	http://repository.its.ac.id/id/eprint/137175

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