Peramalan Trade Price Komoditas Minyak Nabati dengan Metode ARIMAX dan ARIMAX Fungsi Transfer

Rahayu, Wulan (2021) Peramalan Trade Price Komoditas Minyak Nabati dengan Metode ARIMAX dan ARIMAX Fungsi Transfer. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Setiap pelaku pasar harus selalu siap dengan informasi yang akurat mengenai perkiraan harga komoditas pangan dipasar. Salah satu contoh pelaku pasar yang membutuhkan informasi perkiraan harga komoditas pangan adalah perusahaan komoditas pangan. Pada penelitian ini difokuskan mengenai harga perdagangan (Trade Price) komoditas minyak nabati. Trade Price atau juga dikenal sebagai harga pasar adalah harga perdagangan suatu komoditas yang saat ini dijual di pasar. Model ARIMAX merupakan model ARIMA dengan variabel tambahan exogen atau variabel prediktor. Dalam penelitian ini, variabel eksogen yang digunakan adalah kapasitas import komoditas minyak nabati di Indonesia. Hasil peramalan Trade Price Komoditas Minyak nabati di yang tercatat di perusahaan komoditas pangan dengan variabel dummy waktu terjadinya Covid-19 diperoleh model terbaik adalah model ARIMAX(1,1,0). Hasil peramalan Trade Price Komoditas Minyak nabati di perusahaan komoditas pangan dengan variabel prediktor kapasitas import minyak nabati di Indonesia diperoleh model terbaik adalah model fungsi transfer dengan orde b,s,r (0,0,0). Hasil peramalan Trade Price Komoditas Minyak nabati di perusahaan komoditas pangan pada periode Juli-Desember 2020 relatif stabil dengan harga Trade Price Komoditas Minyak nabati sebesar 980 US Dollar.
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Every market participant must always be ready with accurate information regarding the estimated price of food commodities in the market. One example of a market player who needs information on the estimated price of food commodities is a food commodity company. This research focuses on the trade price of vegetable oil commodities. Trade Price or also known as market price is the trading price of a commodity that is currently being sold in the market. The ARIMAX model is an ARIMA model with additional exogenous variables or predictor variables. In this study, the exogenous variable used is the import capacity of vegetable oil commodities in Indonesia. The results of forecasting the Commodity Trade Price of Vegetable Oil recorded in food commodity companies with a dummy variable when Covid-19 occurs, the best model is the ARIMAX (1,1,0) model. The results of forecasting the Commodity Trade Price of Vegetable Oil in food commodity companies with the predictor variable of importing vegetable oil capacity in Indonesia, the best model is the transfer function model with the order of b,s,r (0,0,0). The results of the forecasting of the Vegetable Oil Commodity Trade Price at food commodity companies in the July-December 2020 period were relatively stable with the Vegetable Oil Commodity Trade Price price of 980 US Dollars.

Item Type:	Thesis (Undergraduate)
Uncontrolled Keywords:	ARIMAX, Fungsi Trasnfer Minyak Nabati, Trade Price, Transfer Function, Vegetable Oil
Subjects:	H Social Sciences > HG Finance > HG3881 Foreign exchange.
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Statistics > 49201-(S1) Undergraduate Thesis
Depositing User:	Wulan Rahayu
Date Deposited:	19 Sep 2021 07:02
Last Modified:	19 Sep 2021 07:02
URI:	http://repository.its.ac.id/id/eprint/92009

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