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PERAMALAN INDEKS JAKARTA ISLAMIC INDEX (JII) DENGAN PENDEKATAN REGRESI PARAMETRIK LINIER SEDERHANA DAN REGRESI NONPARAMETRIK KERNEL DILENGKAPI GUI R-SHINY

*Rahmadia Fitri  -  Departemen Statistika, FSM, Universitas Diponegoro, Indonesia
Suparti Suparti  -  Departemen Statistika, Universitas Diponegoro, Indonesia
Puspita Kartikasari  -  Departemen Statistika, Universitas Diponegoro, Indonesia
Open Access Copyright 2023 Jurnal Gaussian under http://creativecommons.org/licenses/by-nc-sa/4.0.

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Abstract

Investment in Islamic stocks in Indonesia has increased from 2019 to 2021. One of the references for investors in monitoring Islamic stock price movements is the Jakarta Islamic Index_(JII).  The_purpose_of_this_research_is_to model the index (JII) using nonparametric kernel regression.  The kernel_functions_used_in nonparametric regression are Gaussian, Uniform, Triangle, and Epanechnikov._The research data-is-divided-into-In-Sample-data-for the period January-2010-to-December 2020 and-Out-Sample-data.for the_period_January_2021_to_December_2021. The_best_model_is selected based_on_the smallest MSE-value-obtained by the Triangle kernel regression with an optimum bandwidth (h) of 48,  2.  The R2 value is 0.897.  Based on the criteria for the R2 value, it-can-be-stated that_the_best model_is_a strong model_with a proportion of_the influence-of-the-previous index-on-the.current index value of-89.7%, and-there-maining_10.3%_is_influenced_by_other_factors.-The best model forecasting ability can be seen from the MAPE data out sample value of 3.04%, which is less than 10%, meaning that the performance of the kernel model in predicting the JII index is very good.  This research uses R software which is equipped with R-Shiny GUI to help with data processing.

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Keywords: JII, Regression; ARIMA; Nonparametric; Kernel; MSE; GUI

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