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Rosilawati, Elsa Dwi
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PERAMALAN INDEKS HARGA SAHAM GABUNGAN (IHSG) MENGGUNAKAN MODEL INTERVENSI FUNGSI PULSE Rosilawati, Elsa Dwi; Tarno, Tarno; Wuryandari, Triastuti
Jurnal Gaussian Vol 12, No 3 (2023): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.12.3.382-391

Abstract

The intervention model is one model that is frequently used to explain how interventions from both internal and external sources can lead to dramatic fluctuations in a time series of data. The Composite Stock Price Index, known as the IDX Composite, is an index that tracks all stock price performance. For the Composite Stock Price Index from 2 October 2020 to 6 June 2022, daily close price data are used in this study. The data showed a sharp reduction starting on 9 May 2020 (T=386) and lasting for the following 4 days, which made the pulse function the likely intervention model. Rising interest rates and high inflation figures from the United States are to blame for the drop in IDX Composite close price. In addition, a lot of profit-taking was done because of the Eid holidays and the expectation of a substantial increase in COVID-19. The best intervention model created is ARIMA ([3],1,0) with an intervention order of b=0, r=0, and s=11, which can then be used to forecast Composite Stock Price Index for the following period. This is based on the outcomes and analyses. The sMAPE value in the research utilizing this model was 0.98%, suggesting very strong forecasting capabilities.
Co-Authors Tarno Tarno Triastuti Wuryandari