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Asep Rusyana
Department Of Statistics, Faculty Of Mathematics And Natural Sciences, Universitas Syiah Kuala
Agriculture, Biological Sciences & Forestry Astronomy Biochemistry, Genetics & Molecular Biology Chemistry Computer Science & IT Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance Education Energy Environmental Science Health Professions Immunology & microbiology Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Mathematics Medicine & Pharmacology Neuroscience Nursing Physics Public Health Other

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Journal : Transcendent Journal of Mathematics and Applications

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Application of the ARIMAX Model in Assessing the Impact of Global Stock Price Index on Forecasting Indonesia's IHSG Marzuki, Marzuki; Riswanda, Muhammad; Nurhasanah, Nurhasanah; Rusyana, Asep
Transcendent Journal of Mathematics and Applications Vol 3, No 1 (2024)
Publisher : Syiah Kuala University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24815/tjoma.v3i1.38775

Abstract

Time series analysis can be classified into two parts when viewed based on the analysis data variables, namely univariate and multivariate time series analysis. The ARIMAX model is the development of the ARIMA model. The ARIMAX model is a multivariate time series analysis method consisting of exogenous and endogenous variables. This study aims to forecast the Composite Stock Price Index (IHSG) using the ARIMAX model, by looking at the influence of global stock price indices, namely the American stock price index (DJIA), Japanese stock price index (N225), and Chinese stock price index (SSEC). The results of the study show that the model used to forecast the 2019 IHSG is the ARIMAX model (4,1,4). The results of the 2019 IHSG forecast produce fluctuating data. The highest IHSG share price of 6,958.419 occurred in November, while the lowest share price of 6.591.566 occurred in January. Forecast accuracy measured using RMSE and MAPE obtained results of 144.5387 and 2.5121 respectively.
Co-Authors Abd. Rasyid Syamsuri Ahmad, Khairunnas Akhyar Wijaya Anuar, Kaspul Bagus Sartono Budi Setiawan Dwi Astiti Syahbani Elfurqany, Nuwairy Elvitra Mutia Ulfa Enitan, Seyi Samson Fahmi, Mulkan Fara Inka Durrah Fernando, Rivo Fitriana AR Fitriana AR Ghazi Mauer Idroes Hizir Sofyan Idroes, Ghazi M. Inas Salsabila Ira Julita Januaria Douw Kemala, Pati Khairan Khairan Lathifah Setiawan Latifah Rahayu Lubis, Vanizra F. Mahmudi Mahmudi Marzuki Marzuki Marzuki Marzuki Maulana, Aga Maulydia, Nur Balqis Mira Suci Yana Muhammad Adam, Muhammad Muhammad Iqbal Muliadi Ramli Muzamil Muzamil Nanny Salwa Nany Salwa Noviandy, Teuku R. Nurhasanah Nurhasanah Nurhasanah Nurhasanah Oktriyono, Febri Dwi Ridha Ferdhiana Rimbawan , Rinaldi Idroes Riswanda, Muhammad Romi Rosadi Sasmita, Novi Reandy Siti Rusdiana Siti Sarah, Siti Sri Anna Marliyati Suhendra, Rivansyah Tessa Prihartina Parhusip Teuku Rizky Noviandy Teuku Zulfikar TRINA EKAWATI TALLEI Warman Fatra, Warman Yulia Yulia Yunianto, Andi Eka Zuchra Helwani, Zuchra Zul Amraini, Said Zurnila Marli Kesuma