Analisa Model SIR Covid-19 Dan Dampaknya Terhadap IHSG Di Indonesia

Munawaroh, Mualifatul (2021) Analisa Model SIR Covid-19 Dan Dampaknya Terhadap IHSG Di Indonesia. Masters thesis, Institut Teknologi Sepuluh Nopember.

	Text 06111950015001-Master_Thesis.pdf - Accepted Version Restricted to Repository staff only until 1 April 2024. Download (5MB) | Request a copy
	Text 06111950015001-Master_Thesis.pdf - Accepted Version Restricted to Repository staff only until 1 April 2024. Download (8MB) | Request a copy

Abstract

Virus corona (Covid-19) merupakan virus baru yang pertama kali terjadi di Wuhan pada bulan Desember 2019. Covid-19 pertama kali terjadi di Indonesia pada tanggal 2 Maret 2020. Munculnya wabah Covid-19 yang melanda Indonesia, memicu munculnya banyak dampak, terutama munculnya krisis kesehatan kemudian berkembang menjadi krisis ekonomi dan sosial. Indonesia ikut serta terkena dampak Covid-19 yang mengalami penurunan harga IHSG 0;95% di level 5.979,07 pada laporan tahunan pada bulan Desember 2020. Penelitian ini menggunakan data harian laju perubahan Covid-19 dan laju pergerakan penutupan harga IHSG di Indonesia. Laju perubahan Covid-19 di Indonesia menggunakan model SIR yang diperkenalkan Kermack dan Kendrick pada tahun 1927. Laju pergerakan harga IHSG di Indonesia dengan mengikuti model Geometric Brownian Motion (GBM) myang termodifikasi Kalman Filter. Hasil simulasi dan analisis laju perubahan Covid-19 di Indonesia dengan model SIR mempunyai peramalan yang sangat baik, dengan nilai rata-rata MAPE data aktual dan data estimasi adalah 0:07%, yaitu kurang dari 10%. Sedangkan untuk laju perubahan harga IHSG pada sembilan sektor di Indonesia dengan mengikuti model GBM mempunyai peramalan yang sangat baik, dengan nilai rata-rata MAPE data aktual dan data estimasi adalah 2:23% yaitu kurang dari 10%. Hubungan laju perubahan jumlah terinfeksi Covid-19 di Indonesia dan laju pergerakan harga IHSG pada sembilan sektor dengan menggunakan model VAR mempunyai peramalan sangat baik. Nilai rata-rata MAPE laju perubahan jumlah terinfeksi Covid-19 di Indonesia dan laju pergerakan harga IHSG pada sembilan sektor dengan menggunakan model VAR di Indonesia adalah 2:23%, yaitu kurang dari 10%. Berdasarkan uji kausalitas Granger laju perubahan jumlah terinfeksi Covid-19 terdapat hubungan satu arah. Hubungan satu arah dari variabel laju perubahan jumlah terinfeksi Covid-19 mempengaruhi variabel laju pergerakan harga IHSG pada sektor finansial di Indonesia.
====================================================================================================
The corona virus (Covid-19) is a new virus that first occurred in Wuhan in December 2019. Covid-19 first occurred in Indonesia on March 2, 2020. The emergence of the Covid-19 outbreak that hit Indonesia, triggered many impacts, especially The emergence of a health crisis then developed into an economic and social crisis. Indonesia was also affected by Covid-19 which experienced a decline in the IHSG price of 0:95% at the level of 5,979.07 in the annual report in December 2020. This study uses daily data on the rate of change of Covid-19 and the rate of movement of the IHSG closing price in Indonesia. The rate of change of Covid-19 in Indonesia uses the SIR model introduced by Kermack and Kendrick in 1927. The rate of IHSG price movement in Indonesia follows the Geometric Brownian Motion (GBM) model modified by the Kalman Filter. The simulation results and analysis of the rate of change of Covid-19 in Indonesia with the SIR model have very good forecasts, with the average MAPE value of actual data and estimated data being 0:07%, which is less than 10%. Meanwhile, the rate of change in the IHSG price in nine sectors in Indonesia by following the GBM model has a very good forecast, with the average MAPE value for actual data and estimated data is 2:23%, which is less than 10%. The relationship between the rate of change in the number of infected with Covid-19 in Indonesia and the rate of IHSG price movement in nine sectors using the VAR model has a very good forecast. The MAPE average value of the rate of change in the number of infected with Covid-19 in Indonesia and the rate of movement of the IHSG price in nine sectors using the VAR model in Indonesia is 2:23%, which is less than 10%. Based on the causality test Granger the rate of change in the number of infected with Covid-19 there is a one-way relationship. The one-way relationship of the variable rate of change in the number of infected Covid-19 affects the variable rate of IHSG price movement in the financial sector in Indonesia.

Item Type:	Thesis (Masters)
Uncontrolled Keywords:	Covid-19, IHSG, GBM, Kalman Filter, SIR, and VAR, Covid-19, IHSG, GBM, Kalman Filter, SIR, dan VAR
Subjects:	Q Science Q Science > QA Mathematics Q Science > QA Mathematics > QA401 Mathematical models.
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Mathematics > 44101-(S2) Master Thesis
Depositing User:	MUALIFATUL MUNAWAROH
Date Deposited:	20 Jan 2022 07:42
Last Modified:	20 Jan 2022 07:42
URI:	http://repository.its.ac.id/id/eprint/92423

Actions (login required)

View Item