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Journal : MATEMATIKA

VECTOR AUTOREGRESSIVE (VAR) UNTUK PERAMALAN HARGA SAHAM PT INDOFOOD SUKSES MAKMUR Tbk. Maruddani, Di Asih; Safitri, Diah
MATEMATIKA Vol 11, No 1 (2008): JURNAL MATEMATIKA
Publisher : MATEMATIKA

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Abstract

In simultaneous or structural  equation models, if there is true simultaneity among a set of variables, they should not be any apriori distinction between endogenous and exogenous variables. It is in this spirit of the VAR models. We study  stock value simultaneous model at PT Indofood Sukses Makmur Indonesia Tbk, for the period of 1998–2005. Variables in stock value simultaneous models are stock value, Return of Assets (ROA), Debt to Equity Ratio (DER), and Earning Per Share (EPS). The data is obtained from the Indonesian Capital Market Directory, Jakarta Stock Exchange and PT Indofood Sukses Makmur Indonesia Tbk. Financial Statement. The empirical results showed that the variables under consideration can be said to be integrated of order one, and the residuals have independent and normal distribution. With AIC and SC values, we conclude that each equations contains four lag values of Stock Value, ROA, DER, and EPS. The estimated VAR model can be used for forecasting the future values of stock value. In this study, we forecast the stock value from 2006:1 until 2007:12.  
Co-Authors Aan Rosiatun Abdul Hoyyi Agus Rusgiyono Agustifa Zea Tazliqoh Al Qarani, Muhammad Aqajahs Altarans, Indra Amin, Ahmad Syaifuddin Amir Fauzi Andika Andika Anik Nurul Aini Apriyanto, Dadan Ramadhan Arsyil Hendra Saputra Aulia, Riskiya Azdina Nur, Faradillah Aziza, Siti Bimbi Ardhana Rizky Brajawikalpa , Rama Samara Damayanti, Almiffa Dani, Sekar Arum Dayanti, Umi Desy Tresnowati Hardi Dewi Masitoh Di Asih I Marudani Di Asih I Maruddani Dwi Ispriyanti Ekananda, Rizki Esti Pratiwi Evi Yulia Handaningrum Fajeriyati, Nurul Fitriah Fitriah Fitriyanti Faruk hartawaty, dheny arina Hasbi Yasin Imam Nur Sholihin Imran, Siskawati Al Juria Ayu Handini Kishatini Kishartini Lambeja, Sulistiawati Liena Sofiana Lilik Ariyanto Manggi, Wildianty M Marna, Syamsul Mawardi Maruddani, Di Asih Maryam Jamilah An Hasibuan Meita Puspa Dewi Mohamad Muklis Muhamad Faliqul Asbah Muhammad Prayito Mulki, Moh Malikul Mustafid Mustafid Nariswari Diwangkari, Nariswari Nashihah, Siti Nunik Nurhasanah Nurina Happy Nurissalma Alivia Putri Octafinnanda Ummu Fairuzdhiya Paramita Indrasari Peratama, Moch Indra Puput Ramadhani R., Ahmad Auliya Rahmat Kartolo Rama Samara Brajawikalpa Rita Rahmawati Rita Rahmawati Rose Debora Julianisa, Rose Debora Rosita, Diah Ayu Rosita, Diah Ayu Rukun Santoso Sabarinah Prasetyo Samsul Bahri Samu, La Ode Sari, Eliya Cicik Puspita Sari, Sasmita Kartika Setya Adi Rahmawan Sihar Tambun Sitti Hadijah, Sitti Sucihatiningsih Dian Wisika Prajanti Sudarno Sudarno Sudarno Sudarno Sukmayanti, Sukmayanti Suparti Suparti Sutikno Sutikno Tahariq, Isra Tarno Tarno Tatik Widiharih Tatik Widiharih Tyas Estiningrum Umar Fauzan Vetranella .T.R.A. Sinaga Waloya, Waloya Wangsa, Arum Kirana Widiantika, Maradella Widya Noviana Noor Winastiti, Lugas Putranti Yuciana Wilandari Yuliana Yuliana Zafirah, Kamilah Zia, Nabila Ghaida Zulfikar, M. Zulkarnain Zulkarnain Zulkarnain, Ahmad Aditya Sidik