Model Autoregressive dengan Pendekatan Conditional Maximum Likelihood Untuk Prediksi Harga Saham

Cipta Rahmadayanti; Hasbi Rabbani; Aniq Atiqi Rohmawati

doi:10.15575/kubik.v3i1.2731

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Cipta Rahmadayanti
Telkom University
Indonesia

Hasbi Rabbani
Telkom University
Indonesia

Aniq Atiqi Rohmawati
Telkom University
Indonesia

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Model Autoregressive dengan Pendekatan Conditional Maximum Likelihood Untuk Prediksi Harga Saham

Cipta Rahmadayanti^(1*), Hasbi Rabbani⁽²⁾, Aniq Atiqi Rohmawati⁽³⁾

(1) Telkom University, Indonesia
(2) Telkom University, Indonesia
(3) Telkom University, Indonesia
(*) Corresponding Author

Abstract

Jual beli saham merupakan salah satu bentuk investasi yang menjanjikan para investor, investasi berkaitan dengan return atau keuntungan yang didapatkan oleh suatu investor atas suatu investasi yang dilakukan terhadap saham tertentu. Untuk mendapatkan nilai return pada beberapa periode kedepan dapat dilakukan prediksi, pada dasarnya prediksi dapat dilakukan dengan menggunakan beberapa metode, namun dengan menggunakan model time series diharapkan menghasilkan prediksi yang baik karna karakteristik dari data saham merupakan data time series yang bergerak kontinu terhadap waktu. Pada penelitian ini digunakan model time series Autoregressive (AR) dengan pendekatan Conditional Maximum Likelihood untuk memprediksi nilai return serta dapat melihat pergerakan harga saham. Nilai parameter yang penting pada model Autoregressive orde 1 adalah . Hasil penaksiran parameter dengan Conditional Maximum Likelihood digunakan untuk memperoleh nilai hasil prediksi. Berdasarkan hasil analisis, model Autoregressive dengan pendekatan Conditional Maximum Likelihood adalah model yang baik untuk memprediksi return dan harga saham NASDAQ dengan RMSE sebesar 0,0002578. Berdasarkan hasil prediksi model AR(1), maka para investor dapat membuat strategi untuk berinvestasi pada indek saham NASDAQ agar dapat menghasilkan keuntungan.

Keywords

Return Saham; Harga Saham; Model Autoregressive; Conditional Maximum Likelihood

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References

Capinski, Marek, and Tomasz Zastawniak. "Mathematics for finance." An Introduction (2003): 118-124.

Enke, David, and Suraphan Thawornwong. "The use of data mining and neural networks for forecasting stock market returns." Expert Systems with applications 29.4 (2005): 927-940.

Oztekin, Asil, et al. "A data analytic approach to forecasting daily stock returns in an emerging market." European Journal of Operational Research 253.3 (2016): 697-710.

Valipour, Mohammad, Mohammad Ebrahim Banihabib, and Seyyed Mahmood Reza Behbahani. "Parameters estimate of Autoregressive moving average and Autoregressive integrated moving average models and compare their ability for inflow forecasting." J Math Stat 8.3 (2012): 330-338.

Cryer, Jonathan D., and Natalie Kellet. Time series analysis. Vol. 101. Boston: Duxbury Press, 1986.

Brooks, Chris. Introductory econometrics for finance. Cambridge university press, 2014.

DOI: https://doi.org/10.15575/kubik.v3i1.2731

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Model Autoregressive dengan Pendekatan Conditional Maximum Likelihood Untuk Prediksi Harga Saham

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