Jurnal Gaussian
Vol 11, No 3 (2022): Jurnal Gaussian

PEMODELAN FAKTOR EKONOMI MAKRO TERHADAP HARGA SAHAM TELKOM MENGGUNAKAN REGRESI SPLINE TRUNCATED MULTIVARIABEL DILENGKAPI GUI R

Lulu Maulatus Saidah (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)
Suparti Suparti (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)
Sudarno Sudarno (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)



Article Info

Publish Date
03 Jan 2023

Abstract

Stock prices are an important thing that investors should know before investing. Volatile stock prices require investors to know the factors that influence their changes. Stock price instability makes it very difficult for investors to make investments and affects the integrity they get. One of the factors that affect stock prices is macroeconomic factors consisting of rupiah exchange rate (X1), inflation (X2), and SBI interest rate (X3). A statistical method that can be used to model fluctuating data is spline nonparametric regression. This study aims to model macroeconomic factors against Telkom's stock price using multivariable truncated spline nonparametric regression with optimal knot point selection methods that minimize Generalized Cross Validation (GCV). Many knots used are a combination of 1 and 2 and the order used is a combination of 2, 3, and 4. The best multivariable truncated spline model is achieved on a knot combination (2,2,2) with the order X1, X2, X3 being 3, 2, 2 which results in an R2 value of 92.71% included in the strong model criteria. In the evaluation of model performance obtained a MAPE value of 1.857% which shows the model has excellent forecasting ability. In this study, a Graphical User Interface (GUI) program was formed R that can facilitate data analysis and produce more attractive display output.

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Journal Info

Abbrev

gaussian

Publisher

Subject

Other

Description

Jurnal Gaussian terbit 4 (empat) kali dalam setahun setiap kali periode wisuda. Jurnal ini memuat tulisan ilmiah tentang hasil-hasil penelitian, kajian ilmiah, analisis dan pemecahan permasalahan yang berkaitan dengan Statistika yang berasal dari skripsi mahasiswa S1 Departemen Statistika FSM ...