Penerapan Metode ARCH/GARCH Dalam Peramalan Indeks Harga Saham Sektoral
DOI:
https://doi.org/10.24014/jsms.v2i1.3093Abstract
Pergerakan indeks harga saham di suatu negara dapat dijadikan sebagai salah satu tolak ukur untuk melihat kondisi perekonomian negara tersebut. Penelitian ini membahas tentang peramalan data saham sektoral bidang agrikultur, dengan 106 data dari bulan September 2013 sampai bulan September 2015. Adapun tujuan dari penelitian ini yaitu memodelkan dan meramalkan saham sektoral dengan menggunakan Metode ARCH/GARCH. Diperoleh hasil bahwa model ARCH(1) merupakan model yang tepat untuk dijadikan peramalan data saham sektoral. Menggunakan model ARCH(1) dilakukan peramalan sebanyak 8 minggu kedepan dimulai dari minggu pertama bulan Oktober 2015. Nilai MAPE menunjukkan persentase yang rendah, ini mengindikasikan peramalan mendekati data aktual.
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