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All Journal Xplore: Journal of Statistics
Nur Laela Fitriani
Department of Statistics, IPB
Decision Sciences, Operations Research & Management Engineering Mathematics

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Model Fungsi Transfer Input Ganda untuk Pemodelan Jakarta Islamic Index Nur Laela Fitriani; Pika Silvianti; Rahma Anisa
Xplore: Journal of Statistics Vol. 7 No. 3 (2018): 31 Desember 2018
Publisher : Department of Statistics, IPB

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29244/xplore.v7i3.149

Abstract

Transfer function model with multiple input is a multivariate time series forecasting model that combines several characteristics of ARIMA models by utilizing some regression analysis properties. This model is used to determine the effect of output series towards input series so that the model can be used to analyze the factors that affect the Jakarta Islamic Index (JII). The USD exchange rate against rupiah and Dow Jones Index (DJI) were used as input series. The transfer function model was constructed through several stages: model identification stage, estimation of transfer function model, and model diagnostic test. Based on the transfer function model, the JII was influenced by JII at the period of one and two days before. JII was also affected by the USD exchange rate against rupiah at the same period and at one and two days before. In addition, the JII was influenced by DJI at the same period and also at period of one until five days ago. The Mean Absolute Prencentage Error (MAPE) value of forecasting result was 0.70% and the correlation between actual and forecast data was 0.77. This shows that the model was well performed for forecasting JII.
Analisis Pengaruh Kurs USD terhadap Jakarta Islamic Index dengan Menggunakan Model Fungsi Transfer Pika Silvianti; Nur Laela Fitriani
Xplore: Journal of Statistics Vol. 2 No. 2 (2018): 31 Agustus 2018
Publisher : Department of Statistics, IPB

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (260.722 KB) | DOI: 10.29244/xplore.v2i2.160

Abstract

The transfer function model is a time series forecasting model that combines several characteristics ofthe ARIMA model one variable with several characteristics of regression analysis. This model is used to determine the effect of an explanatory variable (input series) on the response variable (output series). This study uses a transfer function model to analyze the effect of the exchange rate on Jakarta Islamic Index. The transfer function model is structured through several stages, starting from modelidentification, estimation of the transfer function model, and model diagnostic testing. Based on the transfer function model, Jakarta Islamic Index was influenced by Jakarta Islamic Index in one and two days earlier and the exchange rate in the same period and one to two days earlier. The forecasting MAPE value of 0.6529% shows that the transfer function model obtained is good enough in forecasting.
Co-Authors Pika Silvianti Rahma Anisa