Analisis Model ARCH dan GARCH pada Saham PT. X

Puspitasari, Intan Ayu (2023) Analisis Model ARCH dan GARCH pada Saham PT. X. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

PT Bursa Efek Indonesia (BEI) merupakan pihak yang menyelenggarakan dan menyediakan sistem juga sarana untuk mempertemukan penawaran transaksi Efek antara satu dengan yang lain dengan tujuan memperdagangkan Efek. Salah satu Efek yang ditawarkan dan diperdagangkan di Bursa Efek Indonesia adalah saham. Saham merupakan salah satu investasi yang umum dikenal di masyarakat umum karena resiko dan return yang diperoleh. Tujuan dari investor adalah ingin mendapatkan return yang tinggi, namun pasti disertai dengan resiko yang tinggi pula. Terdapat komponen penting pada kegiatan investasi yaitu volailitas yang merupakan varian dari harga. Data finansial pada umumnya memiliki volatilitas yang tinggi sehingga diperlukan model untuk mengakomodasi volatilitas pada data. Model ARIMA merupakan salah satu model time series yang menggunakan nilai sekarang dan masa lampau. Akan tetapi model ARIMA tidak dapat mengatasi unsur heteroskedastisitas, sehingga salah satu model yang dapat mewakili unsur heteroskedastisitas adalah model ARCH-GARCH. Pada penelitian Tugas Akhir ini, data yang digunakan adalah data harga penutupan saham PT Aneka Tambang Tbk (ANTM) yang merupakan perusakaan yang bergerak di bidang pertambangan yang mengalami peningkatan sejak pada tahun 2020 yang disebabkan naiknya harga emas dunia. Hasil dari penelitian data harga penutupan saham ANTM dapat didekati dengan model ARIMA(1,1,0). Model ARIMA memiliki unsur heteroskedastisitas, sehingga dilakukan identifikasi model ARCH-GARCH. Karena model ARIMA(1,1,0) terdapat unsur heteroskedastisitas sehingga didapatkan model ARCH(1) yang dapat mengatasi unsur heteroskedastisitas.
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The Indonesia Stock Exchange (IDX) is the party that organizes and provides a system as well as facilities to bring together offers of securities transactions with one another for the purpose of trading securities. One of the securities offered and traded on the Indonesia Stock Exchange is shares. Stocks are one of the investments that are commonly known in the public because of the risks and returns that are obtained. The goal of the investor is to get a high return, but it must be accompanied by a high risk as well. There is an important component in investment activities, namely volatility which is a variant of prices. Financial data generally has high volatility, so a model is needed to accommodate volatility in the data. The ARIMA model is a time series model that uses present and past values. However, the ARIMA model cannot overcome the heteroscedasticity element, so one model that can represent the heteroscedasticity element is the ARCH-GARCH model. In this Final Project research, the data used is data on the closing price of shares of PT Aneka Tambang Tbk (ANTM), which is a mining company which has experienced an increase since 2020 due to rising world gold prices. The results of research on ANTM’s closing price data can be approximated by the ARIMA(1,1,0) model. The ARIMA model has an element of heteroscedasticity, so the ARCH-GARCH model is identified. Because the ARIMA(1,1,0) model has an element of heteroscedasticity, so the ARCH(1) model can overcome the heteroscedasticity element.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	PT Aneka Tambang Tbk, Pemodelan, Peramalan Deret Waktu, Model ARCH-GARCH, Modelling, Time Series Forecasting, ARCH-GARCH Model
Subjects:	H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HB Economic Theory > Economic forecasting--Mathematical models. H Social Sciences > HG Finance > HG4012 Mathematical models Q Science > Q Science (General) > Q180.55.M38 Mathematical models Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry) Q Science > QA Mathematics > QA280 Box-Jenkins forecasting Q Science > QA Mathematics > QA401 Mathematical models.
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User:	Intan Ayu Puspitasari
Date Deposited:	16 Feb 2023 06:56
Last Modified:	16 Feb 2023 06:56
URI:	http://repository.its.ac.id/id/eprint/97343

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