Pohan, Miftahul Jannah (2015) ANALISIS TEKNIKAL DENGAN METODE AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) DAN GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTIC (GARCH) DALAM MEMPREDIKSI HARGA SAHAM PERUSAHAAN. (STUDI PADA INTILAND DEVELOPMENT TBK). Undergraduate thesis, UNIMED.
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Abstract
Penelitian ini bertujuan untuk mengetahui keakuratan kedua metode peramalan yaitu ARIMA dan GARCH serta untuk mengetahui metode manakah yang lebih akurat.Data yang digunakan adalah data harian saham DILD selama tahun 2014 yang berjumlah 242 hari perdagangan. ARIMA dan GARCH merupakan metode peramalan yang menggunakan data timeseries.Hasil penelitian menunjukkan bahwa data harga saham DILD selama setahun bersifat tidak stasioner, sehingga data perlu ditransformasikan dengan uji pembeda. Data yang sudah stasioner dapat digunakan dalam peramalan dengan metode ARIMA dan menghasilkan model terbaik yaitu ARIMA (1,1,1) yang memiliki unsur hetereroskedastisitas sehingga dapat dilakukan peramalan dengan metode GARCH dan memperoleh model terbaik yaitu GARCH (1,1) setelah melakukan uji coba dengan beberapa model lainnya.Peramalan dengan metode ARIMA (1,1,1) memiliki tingkat kesalahan absolute rata-rata sebesar 3,63% sedangkan peramalan dengan model GARCH memiliki tingkat kesalahan absolut rata-rata sebesar (20,03)%. Dari hasil diatas, dapat disimpulkan bahwa metode ARIMA lebih akurat daripada metode GARCH dalam memprediksi harga saham perusahaan Intiland Development Tbk.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Additional Information: | 658.02 Poh a |
| Uncontrolled Keywords: | Analisis Teknikal, Harga Saham DILD, ARIMA, GARCH |
| Subjects: | H Social Sciences > HG Finance > HG3810 Foreign exchange. International finance. International monetary system H Social Sciences > HB Economic Theory. Demography H Social Sciences > HF Commerce > HF5001 Business > HF5410 Marketing. Distribution of products |
| Divisions: | Fakultas Ekonomi > Manajemen |
| Depositing User: | Mrs Farida Hanum |
| Date Deposited: | 21 Aug 2016 08:21 |
| Last Modified: | 30 Aug 2016 08:46 |
| URI: | https://digilib.unimed.ac.id/id/eprint/14412 |
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