DOI: https://doi.org/10.14710/j.gauss.v9i3.28911

KOMPUTASI GUI-R UNTUK PEMODELAN REGRESI NONPARAMETRIK BIRESPON POLINOMIAL LOKAL PADA PENGARUH SUKU BUNGA BI TERHADAP INDEKS HARGA SAHAM GABUNGAN DAN KURS USD

*Rudi Saputro Setyo Purnomo  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Suparti Suparti  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Sudarno Sudarno  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Open Access Copyright 2020 Jurnal Gaussian under http://creativecommons.org/licenses/by-nc-sa/4.0.

Citation Format:
Abstract

Economy is one of important indicator of development country. Capital market is one of important tool in economy. The development of the capital market in Indonesian can be seen based on the composite stock price index (CSPI). Other than capital market, international trade is an important tool in the economy. Existence of the international trade generates exchange rate, one of which is USD exchange rate. Exchange rate can be increased and weakened, so it’s stability needs to be maintained. One of the factor that can influence CSPI and USD exchange rate is the BI interest rate. To be able to predict the value of CSPI and USD exchange rate then do the birespon regression modelling because between CSPI and USD exchange rate there are relationship. The regression model approach  which used in this research is local polynomial. This approach has high adaptability with data. To make the modelling easier so this research arrange Graphycal User Interface (GUI) by using R software. The local polynomial birespon regression is applied to CSPI and USD exchange rate data based on BI interest rate by using GUI. The optimal modal is obtained by General Cross Validation (GCV) optimation. The optimal model is model by combination of sequences two and three, bandwidths 6 and 2,7, and local points 5,75 and 6. The value of R Square is 66,68% and the mean absolute percentage error (MAPE) is 4,0798%. This MAPE shows that the optimal model has very high accuration in prediction the data because this value of MAPE less than 10%.

Keywords: CSPI, USD exchange rate, BI interest rate, birespon, local polynomial, GUI.

Fulltext View|Download
Keywords: CSPI, USD exchange rate, BI interest rate, birespon, local polynomial, GUI.

Article Metrics:

Article Info
Section: Articles
Language : ID
Recent articles
KOMPUTASI GUI-R UNTUK PEMODELAN REGRESI NONPARAMETRIK BIRESPON POLINOMIAL LOKAL PADA PENGARUH SUKU BUNGA BI TERHADAP INDEKS HARGA SAHAM GABUNGAN DAN KURS USD PENERAPAN ANALISIS KLASTER K-MODES DENGAN VALIDASI DAVIES BOULDIN INDEX DALAM MENENTUKAN KARAKTERISTIK KANAL YOUTUBE DI INDONESIA (Studi Kasus: 250 Kanal YouTube Indonesia Teratas Menurut Socialblade) ANALISIS SENTIMEN PEMINDAHAN IBU KOTA NEGARA DENGAN KLASIFIKASI NAÏVE BAYES UNTUK MODEL BERNOULLI DAN MULTINOMIAL More recent articles
  1. Chen, R. J. C., Bloomfield, P., dan Cubbage, F. W. 2008. Comparing Forecasting Models in Tourism. Journal of Hospitality & Tourism Research Vol. 32, No. 1: 3-21
  2. Eubank, R. L. 1999. Nonparametric Regression and Spline Smoothing. Edisi 2. New York: Marcel Dekker, Inc
  3. Fan, J. dan Gijbels, I. 1996. Local Polynomial Modelling and Its Applications. London: Chapman & Hall
  4. Hardle, W. dan Linton, O. (McFadden, D. F. dan Engle, R. F.). 1994. Applied Nonparametric Methods. Handbook of Econometrics Vol. 4: Hal. 2295-2339
  5. Harsono, A. R. dan Worokinasih, S. 2018. Pengaruh Inflasi, Suku Bunga, dan Nilai Tukar Rupiah terhadap Indeks Harga Saham Gabungan (Studi pada Bursa Efek Indonesia Periode 2013-2017). Jurnal Administrasi Bisnis (JAB) Vol. 60, No. 2: Hal. 102-110
  6. Kirana, M. P. A. 2017. Pengaruh Tingkat Bunga SBI terhadap Nilai Tukar Rupiah Studi pada Bank Indonesia. Equilibrium Vol. 5, No. 1: Hal. 70-80
  7. Nurrohim, M. 2013. Analisis Kausalitas Volatilitas Nilai Tukar Mata Uang dengan Kinerja Sektor Keuangan dan Sektor Riil. Economics Development Analysis Journal Vol. 2, No. 4: Hal. 351-366
  8. Rahmawati, R. D., Suparti, dan Prahutama, A. 2019. Pemodelan Inflasi dan Indeks Harga Saham Gabungan Menggunakan Regresi Nonparametrik Birespon Spline Truncated dengan Pembobot Invers Matriks Variansi Kovariansi Error Respon. Statistika Vol. 7, No. 1: Hal. 29-38
  9. Sudirman (Darwis, R). 2015. Pasar Modal dan Manajemen Portofolio. Gorontalo: Sultan Amai Press IAIN Sultan Amai
  10. Sunariyah. 2004. Pengetahuan Pasar Modal. Edisi 5. Yogyakarta: Unit Penerbit dan Percecatak (UMP) AMP YKPN
  11. Suparti dan Prahutama, A. 2016. Pemodelan Regresi Nonparametrik Menggunakan Pendekatan Polinomial Lokal pada Beban Listrik di Kota Semarang. Media Statistika Vol. Vol. 9, No. 2: Hal. 85-93
  12. Wahba, G. 1990. Spline Models for Observational Data. Philadelphia: Society for Industrial and Applied Mathematics
  13. Welsh, A. H. dan Yee, T. W. 2005. Local Regression for Vector Responses. Journal Statistical planning and inference Vol. 136, No. 2006: Hal. 3007-3031
  14. Wu, H. dan Zhang, J. T. 2006. Nonparametric Regression Methods for Longitudinal Data Analysis. Canada: A John Wiley & Sons, Inc. Publication

Last update:

No citation recorded.

Last update:

No citation recorded.