Saffanah, Abshari Azka (2022) Peramalan Harga Saham Berdasarkan Faktor Makroekonomi Menggunakan Metode Gated Recurrent Unit (Studi Kasus: Pt Telkom Indonesia Tbk.). Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Investasi saham di Indonesia sedang mengalami tren peningkatan yang cukup pesat dari tahun ke tahun. PT Telkom Indonesia Tbk. merupakan salah satu perusahaan blue chip yang banyak diminati oleh para investor. Pergerakan harga saham dipengaruhi oleh faktor internal dan eksternal, salah satunya faktor makroekonomi. Ketidakpastian pergerakan harga saham di masa mendatang mengakibatkan tingginya risiko kerugian bagi investor, sehingga diperlukan peramalan harga saham untuk membantu investor dalam mengambil keputusan. Penelitian ini bertujuan untuk meramal harga saham PT Telkom Indonesia Tbk. berdasarkan faktor makroekonomi menggunakan metode Gated Recurrent Unit (GRU). Data yang digunakan adalah data harian harga penutupan saham TLKM dan data bulanan faktor makroekonomi seperti inflasi, suku bunga BI7DRR, nilai tukar rupiah terhadap USD, dan jumlah uang beredar (M2) periode Januari 2012 hingga Desember 2021. Pengujian dilakukan dengan membandingkan model GRU dengan arsitektur multivariat dan univariat, serta menguji beberapa kombinasi hyperparameter seperti jumlah unit, optimizer, epoch, batch size, dan learning rate. Hasil penelitian menunjukkan bahwa model GRU multivariat dengan kombinasi hyperparameter terbaik mampu menghasilkan peramalan yang akurat dengan nilai Mean Absolute Percentage Error (MAPE) yang rendah, membuktikan bahwa penambahan faktor makroekonomi dapat meningkatkan performa model dalam meramal harga saham.
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Stock investment in Indonesia is experiencing a fairly rapid increasing trend from year to year. PT Telkom Indonesia Tbk. is one of the blue chip companies that are in great demand by investors. Stock price movements are influenced by internal and external factors, one of which is macroeconomic factors. The uncertainty of future stock price movements results in a high risk of loss for investors, so stock price forecasting is needed to assist investors in making decisions. This study aims to forecast the stock price of PT Telkom Indonesia Tbk. based on macroeconomic factors using the Gated Recurrent Unit (GRU) method. The data used are daily closing price data of TLKM stock and monthly macroeconomic data such as inflation, BI7DRR interest rate, rupiah exchange rate against USD, and money supply (M2) for the period January 2012 to December 2021. Testing was conducted by comparing the GRU model with multivariate and univariate architectures, as well as testing several combinations of hyperparameters such as number of units, optimizer, epoch, batch size, and learning rate. The results showed that the multivariate GRU model with the best hyperparameter combination was able to produce accurate forecasting with a low Mean Absolute Percentage Error (MAPE) value, proving that the addition of macroeconomic factors can improve the performance of the model in forecasting stock prices.
| Item Type: | Thesis (Other) |
|---|---|
| Additional Information: | RSSI 006.312 Saf p-1 2022 |
| Uncontrolled Keywords: | Faktor Makroekonomi, Gated Recurrent Unit, Peramalan, Saham, Telkom. Gated Recurrent Unit, Macroeconomic Factors, Forecasting, Stocks, Telkom. |
| Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD30.213 Management information systems. Dashboards. Enterprise resource planning. |
| Divisions: | Faculty of Intelligent Electrical and Informatics Technology (ELECTICS) > Information System > 57201-(S1) Undergraduate Thesis |
| Depositing User: | Mr. Marsudiyana - |
| Date Deposited: | 02 Jun 2026 09:09 |
| Last Modified: | 02 Jun 2026 09:09 |
| URI: | http://repository.its.ac.id/id/eprint/133488 |
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