Peramalan Harga Saham Industri Perbankan Menggunakan Pendekatan Metode Var, Varx, Dan Rnn.

Alfani, Muhammad Arif (2022) Peramalan Harga Saham Industri Perbankan Menggunakan Pendekatan Metode Var, Varx, Dan Rnn. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Pasar modal merupakan pasar untuk transaksi keuangan jangka panjang atau investasi. Di era digitalisasi ini investasi menjadi kegiatan ekonomi yang mulai digemari oleh masyarakat kelas menengah Indonesia. Salah satu instrumen investasi yang sering digunakan adalah saham. Di Indonesia, lembaga yang memantau pergerakan saham adalah Bursa Efek Indonesia (BEI). Saham BEI dipantau melalui sebuah indeks, salah satunya adalah LQ45. Indeks Saham LQ45 terdiri dari 45 perusahaan dengan likuiditas yang tinggi. Prospek industri Perbankan dari tahun-ketahun semakin meningkat. Terbukti dari beberapa perusahaan Perbankan masuk kedalam ranking Forbes 2000. Hal tersebut membuat peneliti ingin mengetahui prospek saham di Perbankan untuk beberapa periode kedepan dengan meramalkan harga saham BBCA, BBRI, BBNI, dan BMRI menggunakan metode VAR, VARX dan RNN. Dari metode yang digunakan, dipilih model terbaik berdasarkan Root Mean Square Error (RMSE) untuk meramalkan harga saham industri perbankan. Dalam menentukan model menggunakan metode VAR dan VARX, asumsi residual dari model tersebut sudah memenuhi asumsi white noise tetapi belum memenuhi asumsi distribusi normal multivariat. Parameter yang berpengaruh signifikan dalam penelitian ini yaitu BBCA pada saat lag 3. Dalam penelitian ini didapatkan hasil model terbaik menggunakan metode VARX dengan nilai RMSE paling kecil dibanding metode yang lain.
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The capital market is a market for long-term financial transactions or investments. In this digitalization era, investment is an economic activity that is starting to be favored by the Indonesian middle class. One of the investment instruments often used is stocks. In Indonesia, the institution that monitors stock movements is the Indonesia Stock Exchange (IDX). IDX stocks are monitored through an index, one of which is LQ45. The LQ45 Stock Index consists of 45 companies with high liquidity. The prospects for the banking industry are increasing year by year. This is evidenced by several banking companies being included in the Forbes 2000 ranking. This makes researchers want to know the prospects for banking stocks for the next several periods by forecasting the stock prices of BBCA, BBRI, BBNI, and BMRI using the VAR, VARX, and RNN methods. Of the methods used, the best model is chosen based on the Root Mean Square Error (RMSE) to forecast banking industry stock prices. In determining the model using the VAR and VARX methods, the residual assumptions of the model already satisfy the white noise assumption but do not yet satisfy the multivariate normal distribution assumption. The parameter that has a significant effect in this study is BBCA at lag 3. In this study, the best model results were obtained using the VARX method with the smallest RMSE value compared to other methods.

Item Type:	Thesis (Other)
Additional Information:	RSSt 519.535 Alf p-1 2022
Uncontrolled Keywords:	Peramalan. Saham. Perbankan. VAR. VARX. RNN. Forecasting. Stock. Banking. VAR. VARX. RNNn.
Subjects:	H Social Sciences > HA Statistics
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Statistics > 49201-(S1) Undergraduate Thesis
Depositing User:	Mr. Marsudiyana -
Date Deposited:	10 Jun 2026 01:26
Last Modified:	10 Jun 2026 03:19
URI:	http://repository.its.ac.id/id/eprint/133666

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