PEMODELAN DAN PREDIKSI HARGA SAHAM PERUSAHAAN FAST MOVING CUSTOMER GOODS MENGGUNAKAN VECTOR AUTOREGRESSIVE WITH EXOGENOUS VARIABLES (VARX)
نویسندگان
چکیده
The increase in the population of Indonesia causes consumption to increase. This has made FMCG (Fast Moving Consumer Goods) industry grow rapidly and occupy second largest proportion market capitalization thereby attracting investors invest. One way choose best stocks invest is by modeling. Modeling carried out on share price companies with large capitalization, namely Mayora Indah, Indofood CBP, Siantar Top. factors that influence a company's stock competitor, Unilever Buyung Poetra. Therefore, predict determine relationship between stocks, VARX (Vector Autoregressive Exogenous Variables) method used. data period this study starts from January 4, 2021 14, 2022 results analysis, (1) model obtained for prediction. errors meet white noise multinormal assumptions. SMAPE value Mayora, Top variables below 10% which means very good predictive ability. In addition, prediction show Indofood's more stable than other stocks.
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ژورنال
عنوان ژورنال: Jurnal Gaussian : Jurnal Statistika Undip
سال: 2023
ISSN: ['2339-2541']
DOI: https://doi.org/10.14710/j.gauss.12.2.166-177