Fauzi, Ahmad (2015) Peramalan Menggunakan Model Arima Pada Harga Saham Telkom Dan Lippo. Diploma thesis, Institu Teknologi Sepuluh Nopember.
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Abstract
Pasar modal merupakan sarana pendanaan bagi perusahaan maupun
institusi dan sebagai sarana bagi kegiatan berinvestasi. Dengan
demikian, pasar modal memfasilitasi berbagai sarana dan prasarana
kegiatan jual beli dan kegiatan terkait lainnya. Salah satu indeks untuk
mengukur harga saham adalah Indeks LQ 45. Indeks LQ 45 berisi 45
saham yang disesuaikan setiap enam bulan. Dari 45 saham tersebut,
akan diteliti dua saham yang memiliki nilai volume perdagangan yang
tinggi yakni saham TELKOM dan LIPPO dengan menggunakan model
peramalan ARIMA dan volatilitas harga saham. Pada variabel
TELKOM model yang dipilih adalah model ARIMA (0,1,1) sedangkan
pada variabel LIPPO model yang dipilih adalah ARIMA (0,1,1).
Sedangkan Nilai volatilitas saham TELKOM dan LIPPO yang paling
tinggi adalah 0.93% dan 1.5% sedangkan nilai volatilitas terendah dari
TELKOM dan LIPPO adalah 0.14% dan 0.26%. Pada saat volatilitas
semakin kuat di pasar, belum tentu menghasilkan capital gain yang
besar pula Jadi, selalu perhatikan keamanan transaksi sebelum
melakukan trading.
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Capital market is a means of funding for companies and institutions, and
as a means for activities such as investment. Therefore capital market
facilitating infrastructure trading activities and other related activities.
One of index to measure stock price is LQ 45. LQ 45 index contains of
45 stocks that adjusted every 6 months. From 45 stocks, it will be
studied two stocks that have the highest trading volume value of the
stocks, there are Telkom and Lippo by using forecast ARIMA model and
stock price volatility. At Telkom and Lippo variables obtained ARIMA
(0,1,1), meanwhile the highest value of Telkom and Lippo stocks
volatility was 0.93% and 1.5%. While the lowest volatility value of
Telkom and Lippo was 0.14% and 0.26%. When the volatility value
increasingly strong, the outcome of capital gain was not necesaarily
great anyway
| Item Type: | Thesis (Diploma) |
|---|---|
| Additional Information: | RSSt 519.535 Fau p |
| Uncontrolled Keywords: | ARIMA; capital gain; indeks LQ 45; trading; volatilitas |
| Subjects: | H Social Sciences > HA Statistics |
| Divisions: | Faculty of Vocational > 49501-Business Statistics |
| Depositing User: | - Taufiq Rahmanu |
| Date Deposited: | 09 Jul 2018 04:31 |
| Last Modified: | 24 Aug 2018 02:43 |
| URI: | http://repository.its.ac.id/id/eprint/52163 |
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