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Priska Rialita Hardani
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PERAMALAN LAJU INFLASI, SUKU BUNGA INDONESIA DAN INDEKS HARGA SAHAM GABUNGAN MENGGUNAKAN METODE VECTOR AUTOREGRESSIVE (VAR) Priska Rialita Hardani; Abdul Hoyyi; Sudarno Sudarno
Jurnal Gaussian Vol 6, No 1 (2017): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (567.509 KB) | DOI: 10.14710/j.gauss.v6i1.14773

Abstract

Inflation, Bi Rate (SBI) and the composite stock price index (IHSG) is an economic instrument and often seen as divorce progression of the economic progress of a country. Inflation, Bi Rate and IHSG is a multivariate time series that show activity for a certain period. One method to analyze multivariate time series is Vector Autoregressive (VAR). VAR method is a simultaneous equation model has several endogeneous variables. This research uses secondary data of inflation, SBI and IHSG on period January to June 2016. The VAR model acquired is a model VAR(4), with parameters estimated using the Ordinary Least Square (OLS). The selection model VAR(4) is based on the smallest value of AIC 4,255482 with value of MAPE is 47,11%. Keywords:  Inflation, SBI, IHSG, Time Series Multivariate, Forecasting, Vector Autoregressive (VAR).
Co-Authors Abdul Hoyyi Sudarno Sudarno