Penelitian ini memfokuskan pada peramalan harga saham PT. Cowell Development Tbk. menggunakan data pada Januari 2013 sampai Desember 2016. Hasil analisis diperoleh model terbaik adalah model ARIMA(2,1,12). Hasil pengujian asumsi residual white noise menggunakan uji Ljung-Box menunjukkan bahwa model ARIMA(2,1,12) merupakan residual white noise. Hasil uji ARCH-LM menunjukkan data mengandung efek heteroskedastisitas atau unsur ARCH. Model yang diajukan dalam penelitian ini adalah ARCH(1) dan GARCH(1,1). Nilai AIC dan BIC terkecil dari dua model ini adalah ARCH(1). Model ARIMA(2,1,12) dengan residual ARCH(1) merupakan model terbaik untuk meramalkan saham PT. Cowel Development Tbk. Penerapan model ARCH(1) untuk meramalkan harga saham PT. Cowel Development Tbk selama 10 hari periode 2013-2016, menunjukkan bahwa peramalan sudah mendekati data faktual dengan nilai MAPE sebesar 0,043%. Hal ini memberikan indikasi hasil peramalan sudah mendekati data faktual.
| Published by | Universitas Pattimura |
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| Penulis | Bilondatu, Rosna Ningsih , Nurwan, Nurwan , Isa, Dewi Rahmawaty |
| Publisher Article | MATHEMATIC DEPARTMENT, FACULTY OF MATHEMATICS AND NATURAL SCIENCES, UNIVERSITY OF PATTIMURA |
| Subtitle Article | BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 13 No 1 (2019): BAREKENG: Jurnal Ilmu Matematika dan Terapan |
| Scholar Google | http://scholar.google.com/scholar?q=%2Bintitle%3A&… |
| View Article | https://ojs3.unpatti.ac.id/ind… |
| DOI | https://doi.org/10.30598/barekengvo… |
| DOI Number | DOI: 10.30598/barekengvol13iss1pp009-018ar676 |
| Download Article [1] | https://ojs3.unpatti.ac.id/index.php/bar… |
| Download Article [2] |
Informasi yang terkait dengan A MODEL ARCH(1) DAN GARCH(1,1) PADA PERAMALAN HARGA SAHAM PT. COWELL DEVELOPMENT Tbk.
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