DOI: https://doi.org/10.14710/j.gauss.10.4.595-604

PEMODELAN DAN PERAMALAN INDEKS HARGA SAHAM GABUNGAN (IHSG) MENGGUNAKAN ARIMAX-TARCH

*Endah Fauziyah  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Dwi Ispriyanti  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Tarno Tarno  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Open Access Copyright 2021 Jurnal Gaussian under http://creativecommons.org/licenses/by-nc-sa/4.0.

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Abstract

The Composite Stock Price Index (IHSG) is a value that describes the combined performance of all shares listed on the Indonesia Stock Exchange. JCI serves as a benchmark for investors in investing. The method used to predict future conditions based on past data is forecasting . Autoregressive Integrated Moving Average with Exogenous Variables (ARIMAX) is amodel time series that can be used for forecasting. Financial data has high volatility which causes the variance of the residual model which is not constant (heteroscedasticity). ARCH / GARCH model is used to solve the heteroscedasticity problem in the model. If the data is heteroscedastic and asymmetric, then the model can be used Threshold Autoregressive Conditional Heteroskedasticity (TARCH). The data used are the Composite Stock Price Index (IHSG) for the January 2000 - April 2020 period and the dollar exchange rate data for the January 2000 - April 2020 period asvariables independent from the ARIMAX model. The best model used to predict the JCI from the results of this study is the ARIMAX (1,1,0) -TARCH (1,2) model with an AIC value of -0.819074.

 

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Keywords: IHSG, forecasting, ARIMAX, TARCH

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