Fatari, Virga (2017) Model Arch/Garch untuk mengetahui perubahan Indeks Harga Saham Gabungan (IHSG) dengan Adanya Asean Economic Community (AEC). Undergraduate thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Indeks Harga Saham Gabungan (IHSG) merupakan salah satu indikator yang digunakan investor untuk melihat kondisi suatu negara. Pergerakan nilai indeks akan menunjukan situasi pasar yang sedang terjadi. Melihat hal ini maka dilakukan penelitian mengenai perubahan model peramalan log-return IHSG dengan adanya ASEAN Economic Community atau AEC. Dengan adanya AEC tentu ada kemungkinan dalam mempengaruhi perubahan harga saham. Hal tersebut terjadi karena AEC merupakan program kerjasama negara-negara ASEAN di bidang ekonomi. Sehingga jika dengan adanya AEC keadaan ekonomi di Indonesia membaik, maka harga saham pun akan baik (meningkat). Sebaliknya jika keadaan ekonomi Indonesia justru menjadi buruk, maka harga saham pun akan menurun. Untuk mengetahui perubahan IHSG dengan adanya AEC digunakan model ARCH/GARCH dan didapatkan perbedaan model log-return IHSG sebelum dan saat adanya AEC. Model peramalan log-return IHSG berubah dari ARMA([29],[29]) menjadi ARMA([43],[43]) serta dari GARCH(2,2) menjadi GARCH(1,1).
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Indonesia Composite Index (ICI) is one of the indicators
used by investors to see the condition of a country. The movement
of the index value will show the situation of the market is going.
Seeing this, the research about the factors that affect the ICI, one
of which is the presence of the ASEAN Economic Community or
AEC. The existence of AEC of course there are the probability
affect the stock price changes. This happens because the AEC is a
joint program of ASEAN countries in the economic field. So if in
the presence of AEC economic situation in Indonesia is improving,
then the share price will either (increase). Conversely, if the state
of the Indonesian economy became worse, then the stock price will
decrease. Thus, to determine the effect of AEC on stock prices then
used the model of ARCH/GARCH and getting difference model of
log-return IHSG, before and at the moment, because of the
existence of AEC. Forecasting model of log-return IHSG was
changed from ARMA([29],[29]) became ARMA([43],[43]) and
from GARCH(2,2) became GARCH(1,1).
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Uncontrolled Keywords: | Indeks Harga Saham Gabungan; ASEAN Economic Community; ARIMA; ARCH/GARCH; Indonesia Composite Index |
| Subjects: | Q Science > QA Mathematics > QA278.2 Regression Analysis. Logistic regression |
| Divisions: | Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | VIRGA FATARI |
| Date Deposited: | 16 Mar 2017 04:04 |
| Last Modified: | 05 Mar 2019 02:36 |
| URI: | http://repository.its.ac.id/id/eprint/2070 |
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