Prediksi Indeks Saham Syariah Indonesia Menggunakan Model Hidden Markov

Risa Septi Pratiwi, Daryono Budi Utomo
Submission Date: 2017-07-24 14:02:58
Accepted Date: 2017-12-31 15:38:17

Abstract


Indeks Saham Syariah Indonesia (ISSI) merupakan indikator pergerakan harga dari keseluruhan saham syariah yang tercatat di BEI. Dalam Tugas Akhir ini ISSI diprediksi menggunakan model Hidden Markov dengan data yang dipakai adalah periode bulan Januari 2016 sampai Maret 2017. Data selisih indeks saham dibagi menjadi beberapa state yaitu 3, 4, 5, 6, 7, dan 8 state. Berdasarkan hasil analisis pada pembagian 4 dan 5 state nilai prediksi memiliki kecocokan 100%, sedangkan pada pembagian 3 dan 6 state nilai prediksi memiliki kecocokan sebesar 80%. Prediksi ISSI hanya dapat dilakukan sampai 6 state karena pada 7 dan 8 state tidak memenuhi karakteristik model Hidden Markov.

Keywords


Indeks Saham Syariah Indonesia (ISSI); Model Hidden Markov; Prediksi

References


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