Peramalan Harga Saham Lq45, Nilai Tukar Rupiah, Dan Harga Emas Dengan Pedekatan Univariat Dan Multivariat Time Series

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. ===================================================================================================== 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.
Divisions: Faculty of Mathematics and Science > Statistics > (S1) Undergraduate Theses
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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