Pemodelan Indeks Harga Saham Gabungan (IHSG), Kurs, dan Harga Minyak Dunia dengan Pendekatan Vector Autoregressive

Dimas Okky S, Setiawan Setiawan
Submission Date: 2012-07-26 11:46:13
Accepted Date: 2013-01-17 08:49:12

Abstract


Vector autoregressive (VAR) merupakan salah satu analisis time series multivariate dimana dapat digunakan dalam memprediksi variabel  dan berguna untuk menilai keterkaitan antara variabel. Tahapan-tahapan dalam metode VAR meliputi tahap identifikasi, estimasi parameter, dan cek diagnosa. Data yang digunakan dalam penelitian ini adalah Indek Harga Saham Gabungan (IHSG), kurs, dan harga minyak dunia pada periode 2011-2012. Dari hasil analisis didapatkan model VAR yang sesuai adalah VAR(4,1,0) dengan nilai AIC terkecil sebesar 15,7437. Selain itu hasil MAPE dan RMSE pada ketiga variabel yaitu variabel IHSG sebesar 1,85 dan 88,076; variabel kurs sebesar 0,89 dan 84,9237; sedangkan variabel harga minyak dunia sebesar 0,83 dan 0,009694.


Keywords


Data multivariat; deret waktu; Vector Autoregressive

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