Model ARIMA-GARCH pada Data Kurs JISDOR selama Masa Pandemi COVID-19

Authors

  • Desty Rakhmawati Universitas Amikom Purwokerto
  • Septi Fajarwati Universitas Amikom Purwokerto
  • Tri Astuti Universitas Amikom Purwokerto
  • Primandani Arsi Universitas Amikom Purwokerto

DOI:

https://doi.org/10.30736/voj.v4i2.616

Keywords:

Model ARIMA-GARCH, Kurs JISDOR, Pandemi Covid-19

Abstract

Kurs JISDOR selama pandemi COVID-19 berpengaruh terhadap perekonomian Indonesia, sehingga tujuan penelitian ini adalah memodelkan data kurs JISDOR selama pandemi. Model dibentuk mengikuti sifat- sifat yang dimiliki data tersebut. Data memiliki tren dan non stasioner, maka data di differencing 1, menjadi stasioner setelah di uji ADF. Kemudian sesuai plot ACF, PACF, nilai minimum AIC dan SIC didapatkan model yang tepat adalah ARIMA(1,1,1). Model ini memiliki heteroscedasticity, maka dilanjutkan membentuk model ARCH-GARCH, dan hasil penelitian ini diperoleh model ARIMA(1,1,1)-GARCH(1,1) yang merupakan model paling tepat menggambarkan data.

Downloads

Download data is not yet available.

References

Aditya Satrio, C. B., Darmawan, W., Nadia, B. U., & Hanafiah, N. (2021). Time series analysis and forecasting of coronavirus disease in Indonesia using ARIMA model and PROPHET. Procedia Computer Science, 179(2020), 524–532. https://doi.org/10.1016/j.procs.2021.01.036

Ahmar, A. S., Gs, A. D., Listyorini, T., Sugianto, C. A., Yuniningsih, Y., Rahim, R., & Kurniasih, N. (2018). Implementation of the ARIMA(p,d,q) method to forecasting CPI Data using forecast package in R Software. Journal of Physics: Conference Series, 1028(1). https://doi.org/10.1088/1742-6596/1028/1/012189

Arianti, R., Sahriman, S., & Talangko, L. P. (2022). Model ARIMA dengan Variabel Eksogen dan GARCH pada Data Kurs Rupiah. Estimasi, 3(1), 41–48. https://doi.org/10.20956/ejsa.vi.11603

Asnawi, M. H., Hasanah, S. A., Gizela, V. M., Esa, A., & Toharudin, T. (2021). Aplikasi ARCH / GARCH dalam Prediksi Harga Saham PT Kimia Farma ( Persero ) Tbk. SEMINAR NASIONAL STATISTIKA ONLINE, ISSN ONLIN(SNSO 2021).

Dritsaki, C. (2018). The Performance of Hybrid ARIMA-GARCH Modeling and Forecasting Oil Price. International Journal of Energy Economics and Policy, 8(3), 14–21. https://doi.org/10.1515/mt-1999-417-807

Ginting, R. U. B., & Pujadi, A. (2022). PENGARUH INFLASI DAN NILAI KURS TERHADAP HARGA SAHAM PT. BANK RAKYAT INDONESIA. Manajemen Diversitas, 2(1), 8–16.

Hasan, I. K., & Djakaria, I. (2021). Perbandingan Model Hybrid ARIMA-NN dan Hybrid ARIMA-GARCH untuk Peramalan Data Nilai Tukar Petani di Provinsi Gorontalo. Statistika Dan Aplikasinya, 5(2), 155–165.

Hastuti, P., Ane, L., & Yahya, M. (2020). FENOMENA KURS RUPIAH SEBELUM DAN SELAMA COVID-19. NIAGAWAN, 9(3), 197–207.

Ilyas, M., & Raza, M. (2022). Application of Stochastic Regression Models : ARIMA ( p , d , q ) - HW Algorithm Approach for Human Population. Natural Science Edition, (July).

Iqbal, M., & Ningsih, N. W. (2021). Prediksi Harga Saham Harian PT BTPN Syariah Tbk Menggunakan Model Arima dan Model Garch. Jurnal Ilmiah Ekonomi Islam, 7(03), 1573–1580.

Lin, X., & Huang, Y. (2021). Shortâ€Term High-Speed Traffic Flow Prediction Based on ARIMA-GARCH-M Model. Shortâ€Term High-Speed Traffic Flow Prediction Based on ARIMA-GARCH-M Model, 117(4), 3421–3430. https://doi.org/10.1007/s11277-021-08085-z

Mustapa, F. H. M., & Ismail, M. T. (2019). Modelling and forecasting S & P 500 stock prices using hybrid Arima-Garch Model Modelling and forecasting S & P 500 stock prices using hybrid Arima-Garch Model. ICoAIMS 2019 Journal of Physics: Conference Series, 1366(012130). https://doi.org/10.1088/1742-6596/1366/1/012130

Priyanto, N., & Lisandri. (2022). Analisis Pengaruh Inflasi , Suku Bunga , Nilai Tukar dan Jumlah Uang Beredar terhadap Indeks Harga Saham Gabungan ( Ihsg ) pada Perusahaan yang Terdaftar di Bursa Efek Indonesia Periode 2017-2019. Jurnal Manajemen Dan Akuntansi, 23(April), 1–13.

Putri, F. T. A., Zukhronah, E., & Pratiwi, H. (2021). Model ARIMA-GARCH pada Peramalan Harga Saham PT. Jasa Marga (Persero). Business Innovation and Entrepreneursgip Journal, 03(03), 164–170.

Rakhmawati, D., & Tripustikasari, E. (2017). Implementasi Metode Box-Jenkins Untuk Memprediksi Harga Minyak Dunia Dan Pengaruhnya Terhadap Harga Minyak Indonesia. Jurnal Ilmiah Matematika Dan Pendidikan Matematika, 9(2), 87. https://doi.org/10.20884/1.jmp.2017.9.2.2869

Rakhmawati, D., Wahyudi, R., & Yuliawan, C. G. (2020). Pemodelan Harga Saham Ihsg Selama Pandemi Covid-19 Menggunakan Arima Non Musiman. Pro Bisnis, 13(2), 39–48.

Septiana, N., Hasanah, P., & Soemarsono, A. R. (2021). Analisis Volatilitas Harga Saham Sekor Minyak dan Gas di Indonesia pada Masa Pandemi Covid-19 dengan Metode ARIMA-GARCH. J Statistika, 14(0542), 99–109.

Setiawan, B., Ben Abdallah, M., Fekete-Farkas, M., Nathan, R. J., & Zeman, Z. (2021). GARCH (1,1) Models and Analysis of Stock Market Turmoil during COVID-19 Outbreak in an Emerging and Developed Economy. Journal of Risk and Financial Management, 14(12), 576. https://doi.org/10.3390/jrfm14120576

Sopia, S. (2022). WHO: Pandemi Belum Berakhir, Masih Ada Risiko. Republika. Retrieved from https://www.republika.co.id/berita/rcd4d5463/who-pandemi-belum-berakhir-masih-ada-risiko

Trimono, T., Gede, I., H, K. M., & Idhom, M. (2021). Model ARIMA-ARCH / GARCH dan Ensemble ARIMA- ARCH / GARCH untuk Prediksi Kerugian pada Harga Komoditas Pertanian. Seminar Nasional Sains Data 2021, E-ISSN 280((SENADA 2021)), 1–12.

Zolfaghari, M., & Gholami, S. (2021). A hybrid approach of adaptive wavelet transform , long short-term memory and ARIMA-GARCH family models for the stock index prediction. Expert Systems With Applications, 182(November 2020), 115149. https://doi.org/10.1016/j.eswa.2021.115149

Downloads

PlumX Metrics

Published

2022-08-20

How to Cite

Rakhmawati, D., Fajarwati, S., Astuti, T., & Arsi, P. (2022). Model ARIMA-GARCH pada Data Kurs JISDOR selama Masa Pandemi COVID-19. Vygotsky: Jurnal Pendidikan Matematika Dan Matematika, 4(2), 129–138. https://doi.org/10.30736/voj.v4i2.616

Issue

Vol. 4 No. 2 (2022): Vygotsky: Jurnal Pendidikan Matematika dan Matematika

Section

Artikel

License

Copyright:

Authors who publish their manuscripts in this Journal agree to the following conditions:

  1. Copyright of any article on Vygotsky: Jurnal Pendidikan Matematika dan Matematika is held solely by the author under the Creative Commons Attribution 4.0 International license (CC BY NC SA).
  2. Authors can submit papers separately, arrange non-exclusive distribution of manuscripts that have been published in this journal into other versions (e.g. sending to the author's institutional repository, publication in a book, etc.) by acknowledging that the manuscript has been published for the first time in Vygotsky: Jurnal Pendidikan Matematika dan Matematika.


License:

Vygotsky: Jurnal Pendidikan Matematika dan Matematika is published under the terms of the Creative Commons Attribution 4.0 International License (CC BY NC SA). This license permits anyone to copy and redistribute this material in any form or format, compile, modify and develop this material for any purpose as long as it is not for commercial purposes. Additionally, anyone must provide credit and distribute contributions under the license of the creator of the original work.

Crossref
Scopus
Google Scholar
Europe PMC