Pemodelan Harga Saham 4 Bank Kapitalisasi Pasar Terbesar Indonesia dengan Arima & Varima = Arima & Varima Modeling for 4 Highest Market Capitalization Banks in Indonesia

Aurey, Abel Ignatius (2019) Pemodelan Harga Saham 4 Bank Kapitalisasi Pasar Terbesar Indonesia dengan Arima & Varima = Arima & Varima Modeling for 4 Highest Market Capitalization Banks in Indonesia. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Pasar modal merupakan salah satu instrumen investasi yang memiliki potensi keuntungan yang cukup besar. Emiten perbankan merupakan salah satu sector emiten yang memiliki keuntungan yang bagus dan memiliki potensi bertumbuh yang baik. Akan dibuat model matematis untuk menunjukkan potensi emiten perbankan berdasarkan data 4 bank kapitalisasi pasar terbesar di Indonesia yang terdiri dari BBCA (Bank Central Asia), BBNI (Bank Negara Indonesia), BBRI (Bank Rakyat Indonesia), dan BMRI (Bank Mandiri) menggunakan data mingguan 10 tahun kebelakang. Model matematika yang digunakan adalah model deret waktu yaitu model ARIMA dan VARIMA. Model ARIMA merupakan gabungan dari tiga komponen yaitu AR untuk Autoregressive, MA untuk Moving Average, dan I untuk differencing dan model VARIMA merupakan bentuk vektor dari model ARIMA.Penelitian menghasilkan model ARIMA(1,0,0) untuk BBCA, ARIMA(0,0,2) untuk BBNI, ARIMA(0,0,1) untuk BBRI, ARIMA(0,0,1) untuk BMRI, dan model VARIMA(3,0,0). Model ARIMA memiliki residual model yang sudah memenuhi asumsi bebas otokorelasi meskipun belum memenuhi asumsi normalitas residual, sedangkan model VARIMA belum cukup baik karena belum memenuhi asumsi bebas otokorelasi dan normalitas dari residual model. Model ARIMA dapat dikatakan lebih baik secara deterministik dibandingkan model VARIMA dikarenakan hasil uji galat prediksi dengan metode Root Mean Square Error. Meskipun ARIMA lebih baik dalam memodelkan dan meramalkan dibandingkan dengan VARIMA secara deterministik, tetapi tidak terdapat perbedaan yang signifikan secara matematis menurut hasil uji Kruskall-Wallis. / The capital market is an investment instrument that has a considerable potential profit. Banking sector is one of the sectors that have good profits and have good growth potential. A mathematical model will be made to show the potential of banking sector based on the data of the 4 banking emitence with largest market capitalization in Indonesia which consists of BBCA (Bank Central Asia), BBNI (Bank Negara Indonesia), BBRI (Bank Rakyat Indonesia), and BMRI (Bank Mandiri) using weekly data of 10 years period. The mathematical model that will be used is time series model, ARIMA and VARIMA models. ARIMA model is a combination of three components, AR for Autoregressive, MA for Moving Average, and I for differencing and VARIMA model is a vector form of the ARIMA model. Research found the best ARIMA model that are ARIMA(1,0,0) for BBCA, ARIMA(0,0,2) for BBNI, ARIMA(0,0,1) for BBRI, ARIMA(0,0,1) for BMRI, and VARIMA(3.0.0). ARIMA model has a residual model that has fulfilled the autocorrelation free assumption even though it has not met the assumption of normality of residual, while the VARIMA model is not good enough because it has not fulfilled the autocorrelation free assumption and normality of the residual model text. The ARIMA model is better deterministically than the VARIMA model because the results of the prediction error test with the method Root Mean Square Error. Although ARIMA is better at modeling and predicting compared to VARIMA deterministically, there is no mathematically significant difference according to the Kruskall-Wallis test results.

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