Putri, Rizki Hildalia (2015) Peramalan Harga Saham Lq45, Nilai Tukar Rupiah, Dan Harga Emas Dengan Pedekatan Univariat Dan Multivariat Time Series. Undergraduate thesis, Institut Technology Sepuluh Nopember.
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Abstract
Investasi menjadi kegiatan ekonomi yang mulai digemari oleh
masyarakat kelas menengah Indonesia. Salah satu instrumen investasi
yang sering digunakan adalah saham. Di Indonesia, lembaga yang
memantau pergerakan saham adalah Bursa Efek Indonesia (BEI). Saham
BEI dipantau melalui sebuah indeks, salah satunya adalah LQ45. Indeks
Saham LQ45 terdiri dari 45 perusahaan dengan likuiditas yang tinggi.
Selain saham, instrumen investasi yang ditawarkan adalah nilai tukar
rupiah terhadap Dollar Amerika dan emas. Dalam penelitian ini
dilakukan pengelompokkan saham LQ45 dan pemodelan dengan
pendekatan univariat dan multivariat untuk meramalkan harga saham,
nilai tukar rupiah untuk Dollar AS dan harga emas. Berdasarkan
pengamatan yang diperoleh dari analisis faktor, saham LQ45 yang
terbagi menjadi 5 kelompok baru. Model ARIMA yang dihasilkan
mengikuti random walk. Hasil model VAR adalah VARIMA(1,1,0).
Dari model diketahui hubungan bahwa harga emas adalah random. Nilai
tukar rupiah yang terbukti dalam model dipengaruhi oleh harga emas.
Beberapa model menunjukkan bahwa harga saham mempengaruhi nilai
tukar rupiah. Adapun harga saham perusahaan emas dipengaruhi oleh
harga emas. Sementara untuk perbandingan akurasi peramalan
berdasarkan RMSE dan MAPE menunjukkan bahwa metode multivariat
memiliki keakuratan yang lebih tinggi dibandingkan dengan metode
univariat.
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Investment is now being an economy activities which is preferred
by Indonesian’s middle class. One of the most preferred investment
instrument is stock. In Indonesia, the agency that monitors the
movement of stock is the Indonesia Stock Exchange (IDX). The stock
exchange is monitored by an index, one of them is LQ45. LQ45 Stock
Index consists of 45 companies with high liquidity. In addition to stocks,
investment instruments which is offered for investors are rupiah
exchange rate against US Dollar . In this research, we are doing a
univariate and multivariate approach to forecast between stock,
exchange rate of rupiah to us dollar and price of gold. Based on the
observations obtained from factor analysis, the LQ45 stock is divided
into 5 new group. Then, ARIMA models generated follow a random
walk. The result of VAR model is VARIMA(1,1,0). From the model, its
relationship is known that the price of gold is random. Rupiah exchange
rate is influenced by the price of gold. Some models shown that stock
prices influence rupiah exchange rate. Therefore, company's stock prices
of gold is influenced by the price of gold. The results of forecasting
accuracy based on RMSE and MAPE, multivariate methods have more
higher accuracy compared than univariate methods
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Additional Information: | RSSt 519.55 Put p |
| Uncontrolled Keywords: | ARIMA, Emas, LQ45, Nilai Tukar Rupiah, VAR. |
| Subjects: | Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry) |
| Divisions: | Faculty of Mathematics and Science > Statistics > 49201-(S1) Undergraduate Thesis |
| Depositing User: | Mr. Tondo Indra Nyata |
| Date Deposited: | 24 May 2018 02:44 |
| Last Modified: | 24 May 2018 02:44 |
| URI: | http://repository.its.ac.id/id/eprint/51941 |
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