Peramalan Indeks Saham Syariah Indonesia Menggunakan Autoregresive Integrated Moving Average (ARIMA)

Authors

  • Isma Muthahharah STKP Pembangunan Indonesia

DOI:

https://doi.org/10.24252/msa.v7i2.11149

Abstract

Pasar modal merupakan bagian alternatif media untuk melakukan investasi. Indeks Saham Syariah Indonesia merupakan indikator pergerakan dari seluruh saham syariah yang tercatat di Bursa Efek Indonesia sedangkan JII merupakan bagian atau subset dari ISSI karena hanya 30 saham syariah yang tercatat di BEI periode Juni-November 2019. Saat ini jumlah konstituen yang tergabung pada Daftar Efek Syariah (DES) dan tercatat di Bursa Efek Indonesia sebanyak 408 saham pada periode 12 Juli 2019 sampai denga DES berikutnya. Peramalan Indeks Saham Syariah menggunakan metode Autoregressive Integrated Moving Average (ARIMA) dengan 231 data yang dibagi menjadi data in-sample dan data out-sample. Penelitian ini menghasilkan model ARIMA (1,0,0) dengan  yang berarti bahwa saham hari ini tidak dipengaruhi saham sebelum dan setelahnya. Hasil ramalan ISSI maksimum sebesar 174,36 dengan minimum sebesar 175,31.

References

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Published

2020-01-23

How to Cite

[1]
I. Muthahharah, “Peramalan Indeks Saham Syariah Indonesia Menggunakan Autoregresive Integrated Moving Average (ARIMA)”, MSA, vol. 7, no. 2, pp. 1–8, Jan. 2020.

Issue

Vol. 7 No. 2 (2019)

Section

Artikel

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