Daftar Isi

ADLN - Perpustakaan Universitas Airlangga
DAFTAR ISI
Halaman
HALAMAN JUDUL ...................................................................................... i
LEMBAR PERNYATAAN ............................................................................ ii
LEMBAR PENGESAHAN ............................................................................ iii
LEMBAR PEDOMAN PENGGUNAAN SKRIPSI ...................................... iv
KATA PENGANTAR .................................................................................... v
ABSTRAK ..................................................................................................... vii
ABSTRACT .................................................................................................... viii
DAFTAR ISI ................................................................................................... ix
DAFTAR TABEL ........................................................................................... xii
DAFTAR GAMBAR ...................................................................................... xiii
DAFTAR LAMPIRAN ................................................................................... xiv
BAB I PENDAHULUAN
1.1 Latar Belakang .......................................................................... 1
1.2 Rumusan Masalah ..................................................................... 5
1.3 Tujuan ........................................................................................ 5
1.4 Manfaat ..................................................................................... 5
1.5 Batasan Masalah ....................................................................... 6
BAB II TINJAUAN PUSTAKA
2.1 Pasar Modal .............................................................................. 7
2.2 Dow Jones Industrial Average ................................................... 10
ix
SKRIPSI PEMODELAN INDEKS HARGA SAHAM DOW JONES INDUSTRIAL...
AKBAR WIRANATA KAUNANG
2.3 Time Series ................................................................................. 12
2.4 Stasioneritas Data Time Series .................................................. 14
2.5 Spesifikasi Model ARIMA ....................................................... 18
2.6 Model-model dalam Time Series ............................................... 24
2.7 Model ARIMA Musiman ........................................................... 30
2.8 Estimasi Parameter Model ......................................................... 31
2.9 Konsep Parsimony ..................................................................... 33
2.10 Uji Bartlett ............................................................................... 36
2.11 Model Autoregressive Conditional Heteroscedasticity ........... 36
2.12 Model Generalized Autoregressive Conditional
Heteroscedasticity ................................................................... 38
2.13 Identifikasi dan Pengujian Adanya Proses ARCH – GARCH.. 39
2.14 Estimasi Parameter Model ARCH – GARCH ........................... 40
2.15 Pengujian Parameter Model ARCH – GARCH ........................ 42
2.16 Kriteria Model Terbaik .............................................................. 42
2.17 Peramalan .................................................................................. 43
2.18 Aplikasi Minitab ........................................................................ 44
2.19 Aplikasi SAS ............................................................................. 45
BAB III METODOLOGI PENELITIAN
3.1 Sumber Data .............................................................................. 47
3.2 Variabel Penelitian ..................................................................... 47
3.3 Langkah Analisis Data .............................................................. 48

BAB IV HASIL DAN PEMBAHASAN
4.1 Pemodelan Indeks Harga Saham Dow Jones Industrial Average .... 52
4.1.1 Identifikasi Kestasioneran Data ............................................... 52
4.1.2 Identifikasi Model ARIMA Dugaan ....................................... 57
4.1.3 Estimasi Parameter dan Uji Signifikansi Parameter Model
ARIMA .................................................................. 58
4.1.4 Uji Asumsi Residual Model ARIMA ..................... 60
4.1.5 Pemilihan Model ARIMA Terbaik......................... 63
4.1.6 Pendugaan Kasus Heteroskedastisitas ..................................... 65
4.1.7 Identifikasi Model GARCH Dugaan ....................................... 66
4.1.8 Estimasi Parameter dan Uji Signifikansi Parameter Model
GARCH(p,q) ........................................................................... 67
4.1.9 Uji Asumsi Residual Model GARCH(p,q) ............................. 68
4.1.10 Pemilihan Model GARCH Terbaik ....................................... 71
4.2 Peramalan Indeks Harga Saham Dow Jones Industrial Average ..... 73
BAB V KESIMPULAN DAN SARAN
5.1 Kesimpulan ................................................................................ 75
5.2 Saran ........................................................................................... 76
DAFTAR PUSTAKA .................................................................................... 77
xi

DAFTAR TABEL
No. Judul Tabel Halaman
2.1 Transformasi Box-Cox ...................................................................... 16
2.2 Spesifikasi Model ARIMA ................................................................ 23
4.1 Uji Signifikansi Parameter Model ARIMA constant ....... 59
4.2 Uji Signifikansi Parameter Model ARIMA noconstant.... 59
4.3 Hasil Uji Ljung-Box test Residual Pada Model ARIMA .. 61
4.4 Hasil Uji Kolmogorov-Smirnov Pada Model ARIMA ..... 62
4.5 Kriteria Model ARIMA Terbaik ...................................... 64
4.6 Uji Signifikansi Parameter Model ARCH-GARCH .......................... 67
4.7 Hasil Uji Ljung-Box test Residual Pada Model GARCH(p,q) .......... 69
4.8 Hasil Uji Kolmogorov-Smirnov pada Model GARCH(p,q) .............. 70
4.9 Kriteria Model GARCH Terbaik ....................................................... 72
4.10 Validitas Peramalan ........................................................................... 73
xii
DAFTAR GAMBAR
No. Judul Gambar Halaman
4.1 Plot Time Series Data Indeks Harga Saham DJIA ............................ 53
4.2 Diagram Transformasi Box-Cox ....................................................... 54
4.3 Plot Time Series Data Transformasi Indeks Harga Saham DJIA ...... 55
4.4 Plot Time Series Data Indeks Harga Saham DJIA Setelah
Differencing lag 1 .............................................................................. 56
4.5 Uji Kehomogenan Data ..................................................................... 65
4.6 Plot Time Series antara Data Asli dan Data Ramalan........................ 74
xiii
DAFTAR LAMPIRAN
No. Judul Lampiran

1 Data Indeks Harga Saham DJIA per seribu Periode Minggu Kedua
Bulan Juni Tahun 2012 sampai Minggu Kelima Bulan Maret
Tahun 2015
2A Script Program SAS v.9 Pembentukan Model ARIMA Terbaik
2B Script Program SAS v.9 Pembentukan Model GARCH Terbaik
2C Script Program SAS v.9 Peramalan Model ARCH
2D Script Program SAS v.9 Peramalan Model GARCH
3A Output Program SAS v.9 Model ARIMA Terbaik
3B Output Program SAS v.9 Model GARCH Terbaik
3C Output Program SAS v.9 Peramalan Model ARCH
3D Output Program SAS v.9 Peramalan Model GARCH
4 Perhitungan MSE Pemodelan dan Peramalan Data Indeks Harga
Saham Dow Jones Industrial Average (DJIA)
xiv

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ADLN - Perpustakaan Universitas Airlangga

HALAMAN JUDUL ...................................................................................... i

LEMBAR PERNYATAAN ............................................................................ ii

LEMBAR PENGESAHAN ............................................................................ iii

LEMBAR PEDOMAN PENGGUNAAN SKRIPSI ...................................... iv

KATA PENGANTAR .................................................................................... v

ABSTRAK ..................................................................................................... vii

ABSTRACT .................................................................................................... viii

DAFTAR ISI ................................................................................................... ix

DAFTAR TABEL ........................................................................................... xii

DAFTAR GAMBAR ...................................................................................... xiii

DAFTAR LAMPIRAN ................................................................................... xiv

1.1 Latar Belakang .......................................................................... 1

1.2 Rumusan Masalah ..................................................................... 5

1.3 Tujuan ........................................................................................ 5

1.4 Manfaat ..................................................................................... 5

1.5 Batasan Masalah ....................................................................... 6

BAB II TINJAUAN PUSTAKA

2.1 Pasar Modal .............................................................................. 7

2.2 Dow Jones Industrial Average ................................................... 10

2.3 Time Series ................................................................................. 12

2.4 Stasioneritas Data Time Series .................................................. 14

2.5 Spesifikasi Model ARIMA ....................................................... 18

2.6 Model-model dalam Time Series ............................................... 24

2.7 Model ARIMA Musiman ........................................................... 30

2.8 Estimasi Parameter Model ......................................................... 31

2.9 Konsep Parsimony ..................................................................... 33

2.10 Uji Bartlett ............................................................................... 36

2.11 Model Autoregressive Conditional Heteroscedasticity ........... 36

2.12 Model Generalized Autoregressive Conditional

2.13 Identifikasi dan Pengujian Adanya Proses ARCH – GARCH.. 39

2.14 Estimasi Parameter Model ARCH – GARCH ........................... 40

2.15 Pengujian Parameter Model ARCH – GARCH ........................ 42

2.16 Kriteria Model Terbaik .............................................................. 42

2.17 Peramalan .................................................................................. 43

2.18 Aplikasi Minitab ........................................................................ 44

2.19 Aplikasi SAS ............................................................................. 45

BAB III METODOLOGI PENELITIAN

3.1 Sumber Data .............................................................................. 47

3.2 Variabel Penelitian ..................................................................... 47

3.3 Langkah Analisis Data .............................................................. 48

SKRIPSI PEMODELAN INDEKS HARGA SAHAM DOW JONES INDUSTRIAL...

BAB IV HASIL DAN PEMBAHASAN

4.1.1 Identifikasi Kestasioneran Data ............................................... 52

4.1.2 Identifikasi Model ARIMA Dugaan ....................................... 57

4.1.3 Estimasi Parameter dan Uji Signifikansi Parameter Model

4.1.4 Uji Asumsi Residual Model ARIMA ..................... 60

4.1.5 Pemilihan Model ARIMA Terbaik......................... 63

4.1.6 Pendugaan Kasus Heteroskedastisitas ..................................... 65

4.1.7 Identifikasi Model GARCH Dugaan ....................................... 66

4.1.8 Estimasi Parameter dan Uji Signifikansi Parameter Model

4.1.9 Uji Asumsi Residual Model GARCH(p,q) ............................. 68

4.1.10 Pemilihan Model GARCH Terbaik ....................................... 71

BAB V KESIMPULAN DAN SARAN

5.1 Kesimpulan ................................................................................ 75

5.2 Saran ........................................................................................... 76

DAFTAR PUSTAKA .................................................................................... 77

SKRIPSI PEMODELAN INDEKS HARGA SAHAM DOW JONES INDUSTRIAL...

No. Judul Tabel Halaman

2.1 Transformasi Box-Cox ...................................................................... 16

2.2 Spesifikasi Model ARIMA ................................................................ 23

4.1 Uji Signifikansi Parameter Model ARIMA constant ....... 59

4.2 Uji Signifikansi Parameter Model ARIMA noconstant.... 59