Pemodelan Harga Saham Menggunakan Markov Switching Autoregressive

Nasrudin, Muhammad (2019) Pemodelan Harga Saham Menggunakan Markov Switching Autoregressive. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Pada era pemerintahan presiden Joko Widodo saat ini sedang gencar-gencarnya melakukan pemerataan pembangunan. Kebutuhan yang tinggi mengenai bidang infrastruktur di Indonesia akan direalisasikan oleh badan usaha milik negara bidang konstruksi. Kebijakan pemerintah tersebut berpeluang untuk menjadi daya tarik untuk investor agar menanamkan saham di perusahaan sektor konstruksi. Pemodelan data time series dilakukan untuk perencanaan dan proyeksi di masa mendatang. Pemodelan dilakukan menggunakan metode ARIMA dan MSAR. Dihasilkan metode MSAR memiliki nilai AIC yang lebih kecil dibandingkan metode ARIMA yang menuntuut data harus stasioner dalam mean maupun varian. Volatilitas yag tinggi dapat ditangkap dengan menggunakan metode MSAR, selain itu metode MSAR dapat mengetahui peluang untuk bertahan di suatu regime atau berpindah ke regime yang lain. Model MSAR untuk empat perusahaan kontruksi terbesar di Indonesia yaitu PT. Adhi Karya Tbk, PT. Wijaya Karya Tbk, PT. Waskita Karya Tbk, dan PT. Pembangunan Perumahan Tbk, berturut-turut adalah MSAR (6,1), MSAR (4,1), MSAR (2,1), dan MSAR (6,1).
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In the era of president Joko Widodo's, there was an ongoing expansion of development. The highest need for infrastructure in Indonesia will be realized by state-owned enterprises in the construction sector. The government policy has the opportunity to become a target for investors to invest in construction sector companies. Time series data modeling is carried out for future planning and projections. Modeling can using the ARIMA and MSAR methods. The MSAR method has an AIC value that is smaller than the ARIMA method which requires data to be stationary in the mean and variance. High volatility can be captured using the MSAR method, besides that the MSAR method can find out the opportunities to survive in a regime or move to another regime. The MSAR model for the four largest construction companies in Indonesia, namely PT. Adhi Karya Tbk, PT. Wijaya Karya Tbk, PT. Waskita Karya Tbk, and PT. Pembangnan Perumahan Tbk, respectively are MSAR (6,1), MSAR (4,1), MSAR (2,1), and MSAR (6,1).

Item Type:	Thesis (Undergraduate)
Additional Information:	RSSt 519.233 Nas p-1 2019
Uncontrolled Keywords:	Autoregressive Integrated Moving Average, Konstruksi, Markov Switching Autoregressive, Penutupan Harga Saham
Subjects:	H Social Sciences > HA Statistics H Social Sciences > HC Economic History and Conditions H Social Sciences > HD Industries. Land use. Labor Q Science > QA Mathematics > QA274.7 Markov processes--Mathematical models. Z Bibliography. Library Science. Information Resources > Z665 Library Science. Information Science
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Statistics > 49201-(S1) Undergraduate Thesis
Depositing User:	Muhammad Nasrudin
Date Deposited:	28 Sep 2021 19:17
Last Modified:	28 Sep 2021 19:17
URI:	http://repository.its.ac.id/id/eprint/61236

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