PENERAPAN METODE ARIMA BOX-JENKINS UNTUK MEMPREDIKSI HARGA SAHAM DI PT ANEKA TAMBANG TBK

Ilham Yusuf Triputra; Sufri Sufri; Sherli Yurinanda

doi:10.33503/prismatika.v5i2.2727

Ilham Yusuf Triputra Universitas Jambi
Sufri Sufri Universitas Jambi
Sherli Yurinanda Universitas Jambi

DOI: https://doi.org/10.33503/prismatika.v5i2.2727

Keywords: ARIMA, stock price, ACF, PACF, MAPE

Abstract

A capital market is a market in which long-term trading of financial assets takes place, or a market in which various financial instruments are traded. The development of capital markets promotes the economic development of the country. The form of investment in the capital market is in the form of shares. Because stock prices are constantly fluctuating, capital market participants need analysis to help predict future stock prices. PT Aneka Tambang TBK or ANTM for short is one of the stocks traded in Indonesia's capital market. This study applied the Box-Jenkins ARIMA method for the period from July 2021 to November 2021 to determine the optimal forecast model for stock price fluctuations of ANTM, and obtained forecast results in December 2021. It is intended to The best preserved model is his ARIMA model (3,2,0) and ANTM's December 2021 stock price forecast results are down.

References

Antam. 2021. Tentang Antam. (Online) (https://www.antam.com/id/about). Diakses 28 juni 2021.
Antam. 2021. Laporan keuangan. (Online) (https://www.antam.com/id/reports/financial-reports). Diakses 28 Juni 2021.
Aswi dan Sukama. 2006. Analisis Deret Waktu : Teori dan Aplikasi. Andira Publisher, Makassar.
Bartlett S. M. 1946. On The Theoretical Specification And Sampling Properties Of Autocorrelated Time-Series. by: Wiley for the Royal Statistical Society
Box, G. E. P., & G. M. Jenkins. 1994. Time series analysis forecasting and control. Holden-Day. Sa Fransisco.
Bursa Efek Indonesia. 2020. Pengantar Pasar Modal. (Online), (http://www.idx.co.id/idid/beranda/informasi/bagiinvestor/pengantarpasarmodal.aspx). Diakses 28 Juni 2021.
Bursa Efek Indonesia. 2010. Saham. (Online). (http://www.idx.co.id/id- id/beranda/produkdanlayanan/saham.aspx). Diakses 24 April 2021.
Bursa Efek Indonesia. 2010. Pengantar Pasar Modal. (Online). (http://www.idx.co.id/idid/beranda/informasi/bagiinvestor/pengantarpasarmodal.aspx). Diakses 24 April 2020.
Cryer, J. D. and kung. 2008. Time Series Analysis With Applications in R Second Edition. Springer Texts in Statistic. New York.
Cryer, J. D and Chan, K. S. 2008. Time Series Analysis with Applications in R, USA: Springer Science+Bussiness Media, LLC.
Darmadji, T dan Fakhrudin, M. H. 2006. Pasar Modal di Indonesia Pendekatan Tanya Jawab. Edisi Kedua. Salemba Empat, Jakarta.
Durbin, J. Estimation of parameters in time-series regression models. Journal of the Royal Statistical Society (B), Vol. 22 (1960).
Enders, W. (1995) Applied Econometric Time Series. John Wiley & Son, Inc. USA.
Makridakis, W and McGee. 1999. Metode dan Aplikasi Peramalan. Jakarta: Binarupa Aksara.
Montgomery, D.C. 2008. Introduction To Time Series Analysis and Forecasting. John Wiley & Sons, New York.
Hanke, J.E., & Winchern DW. 2005. Business Forecasting. 8th Edition. Fngwood: Cliffs Prentice Hall.
Husnan, S. 2005. Dasar-dasar Teori Portofolio dan Analisis Sekuritas. Edisi kelima, Yogyakarta : BPFE.
Simatupang, M. 2010. Pengetahuan Praktis Investasi Saham dan Reksa Dana, Mitra Wacana Media, Jakarta.
Tandelilin, E. 2001. Analisis Investasi dan Manajemen Portofolio, edisi pertama, BPFE Yogyakarta
Wei, W. (2006). Time Series Univariate and Multivariate Method., USA: Pearson Education,Inc.
Widoatmodjo, S. (2008). Cara Sehat Investasi di Pasar Modal. Jakarta: PT Elex Media Komputindo.
Wulandari, S., Sufri dan Sherli, Y. 2021. Implementation of ARIMA Method in Predicting Stock price fluctuations of PT Bank Central Asia Tbk. Journal Buana Matematika, 11(1), 53 -58.