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All Journal JURNAL MATEMATIKA STATISTIKA DAN KOMPUTASI
Elfhira Juli Safitri
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Mathematics

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Analisis Pengaruh BI 7-Days Repo Rate Terhadap Indeks Harga Saham Gabungan Menggunakan Pendekatan Regresi Nonparametrik Berdasarkan Estimator Least Square Spline Christopher Andreas; Feevrinna Yohannes Harianto; Elfhira Juli Safitri; Nur Chamidah
Jurnal Matematika, Statistika dan Komputasi Vol. 17 No. 3 (2021): May, 2021
Publisher : Department of Mathematics, Hasanuddin University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20956/j.v17i3.13101

Abstract

During the Covid-19 pandemic, the Indonesia stock market was under great pressure, so that the value of the Jakarta Composite Index (JCI) fluctuated greatly. To maintain economic stability, Bank Indonesia has regulated monetary policy such as setting the BI 7-Days Repo Rate. Analysis of this effect is important to formulate the right policy. This study aims to design the best model in describing the relationship between JCI value and BI 7-Days Repo Rate. The analysis was carried out by using parametric regression approach based on the ordinary least square method and nonparametric regression approach based on least square spline estimator. The results showed that the parametric regression models failed to meet the classical assumptions. Meanwhile, nonparametric regression can produce an optimal model with high accurate prediction, with an overall mean absolute percentage error value of 3.16%. Furthermore, mean square error, coefficient of determination, and mean absolute deviation also show good results. Thus, the effect of the BI 7-Days Repo Rate on the JCI value forms a quadratic pattern, in which a positive relationship is formed when the BI 7-Days Repo Rate is set at more than 4.25% and vice versa for a negative relationship.
Co-Authors Christopher Andreas Feevrinna Yohannes Harianto Nur Chamidah