PREDIKSI HARGA SAHAM INDEKS IDX30 DI INDONESIA SAAT PANDEMI COVID-19 DENGAN AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA)

Bayu Diharjo; Rifiana Arief

doi:10.35760/ik.2021.v26i3.5029

PREDIKSI HARGA SAHAM INDEKS IDX30 DI INDONESIA SAAT PANDEMI COVID-19 DENGAN AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA)

Bayu Diharjo
Universitas Gunadarma
Indonesia

Rifiana Arief
Universitas Gunadarma
Indonesia

DOI: http://dx.doi.org/10.35760/ik.2021.v26i3.5029

Abstract

Covid-19 (Corona Virus Disease 2019) adalah penyakit akibat serangan virus SARS-Cov-2 (Severe Acute Respiratory Syndrome Coronavirus2) atau lebih dikenal dengan istilah Virus Corona. Adanya pandemi corona ini berpengaruh terhadap berbagai sektor di Indonesia, salah satunya adalah sektor ekonomi dan kegiatan investasi. Hal ini ditandai dengan pelemahan nilai indeks saham dan pertumbuhan jumlah investor yang cukup tinggi. Salah satu Indeks saham adalah Indeks IDX30. Data Indeks IDX30 dapat membantu investor dalam prediksi harga beberapa periode kedepan dalam mengambil keputusan untuk buy atau hold saham untuk mengurangi kerugian dan memperoleh keuntungan. Tujuan penelitian melakukan analisis prediksi harga saham indeks IDX30 di Indonesia saat pandemi Covid-19 menggunakan Autoregressive Integrated Moving Average (ARIMA). Data yang digunakan sebanyak 369 data harian harga penutupan (closing price) Indeks IDX30 tanggal 04 Mei 2020 hingga 08 Mei 2021. Dari hasil pengujian diperoleh model terbaik yaitu ARIMA (0,1,1) dengan nilai error RMSE sebesar 46.11725 (46.11%), MAE sebesar 38.25260 (38.25%), dan MAPE sebesar 7.966014 (7.96%).

Keywords

ARIMA; Indeks IDX30; Covid-19; RMSE; MAE; MAPE

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