Peramalan Harga Komoditas Dengan Menggunakan Metode Arima-Garch

Azmi, Ulil; Syaifudin, Wawan Hafid

doi:10.30812/varian.v3i2.653

Cited by 3 publications

(2 citation statements)

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“…Harga komoditas mengalami perubahan berdasarkan waktu dan melibatkan proses stokastik (Azmi & Syaifudin, 2020). Oleh karena itu, prediksi harga beras sangat bermanfaat bagi masyarakat untuk perancanaan dan pengelolaan ekonomi rumah tangga.…”

Section: Pendahuluanunclassified

Peramalan Harga Eceran Rata-rata Beras dengan Metode Trend

Syafii¹,

Putri²,

Suriani³

et al. 2023

mjm

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Penelitian ini bertujuan untuk menerapkan analisis trend pada peramalan harga eceran rata-rata beras di kota Padang. Data yang digunakan adalah data harga eceran rata-rata beras di Kota Padang pada Juli 2020 – Desember 2021. Analisis trend merupakan suatu metode analisis yang ditujukan untuk melakukan suatu estimasi atau peramalan pada masa yang akan datang. Variabel penelitian yang digunakan pada ini adalah harga eceran rata-rata beras pada periode tertentu sebagai variabel terikat dan periode waktu dalam bulan sebagai variabel bebas. Ada tiga jenis model trend yang digunakan pada penelitian ini yaitu trend linier, trend kuadratik dan trend eksponen. Tingkat kesalahan dalam peramalan diuji dengan menggunakan mean absolute percent error (MAPE). Berdasarkan hasil perhitungan MAPE diperoleh model peramalan harga eceran rata-rata beras terbaik, yaitu menggunakan model trend kuadratik dikarenakan model trend tersebut mempunyai tingkat kesalahan paling kecil.

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Section: Pendahuluanunclassified

Peramalan Harga Eceran Rata-rata Beras dengan Metode Trend

Syafii¹,

Putri²,

Suriani³

et al. 2023

mjm

View full text Add to dashboard Cite

show abstract

“…Investment is one of the activities that can be done by the community to earn a profit. In the past year, public interest in investment activities has continued to increase (Azmi and Syaifudin, 2020). Based on a press release published by the Indonesia Stock Exchange (Monday/14/12/2020), the number of Indonesian capital market investors as of December 10, 2020, was 3.697.284 SID, up 48,82% from 1,212,930 SID in the previous year.…”

Section: A Introductionmentioning

confidence: 99%

Value-At-Risk Analysis Using ARIMAX-GARCHX Approach For Estimating Risk Of Bank Central Asia Stock Returns

Arumningtyas

Prahutama

Kartikasari

2021

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Before buying a stock, an investor must estimate the risk which will be received. VaR is one of the methods that can be used to measure the level of risk. Most stock returns have a high fluctuation, so the variant is heteroscedastic, which is thought to be caused by exogenous variables. The time series model used to model data that is not only influenced by the previous period but is also influenced by exogenous variables is ARIMAX. In contrast, the GARCHX model is used to obtain a more optimal stock return data model with heteroscedasticity cases and is influenced by exogenous variables. This study uses the ARIMAX-GARCHX model to calculate the VaR of the stock returns of PT Bank Central Asia Tbk. The exogenous variables used are the exchange rate return of IDR/USD and the return of the JCI in the period January 3, 2017, to March 31, 2021. The best model chosen is the ARIMAX(2,0,1,1)-GARCHX(1,1,1). VaR calculation is carried out with the concept of moving windows with time intervals of 250, 375, and 500 transaction days. The results obtained at the 95% confidence level, the maximum loss obtained by an investor is 1,4%.

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