MODEL ARIMA BOX-JENKINS UNTUK PERAMALAN PERGERAKAN HARGA SAHAM PT. ASTRA INTERNATIONAL TBK
Abstract
Peramalan harga saham merupakan salah satu aspek yang penting dalam analisis keuangan dikarenakan berperan penting bagi investor dalam membuat strategi investasinya. Ketepatan dalam memprediksi harga saham tidak hanya membantu investor dalam mengoptimalkan keuntungan yang didapatkan tetapi juga membantu investor dalam meminimalkan risiko kerugiannya. Penelitian ini bertujuan untuk menentukan model yang paling akurat dalam meramalkan harga saham penutupan PT. Astra International Tbk menggunakan pendekatan Box-Jenkins ARIMA (Autoregressive Integrated Moving Average). Data yang digunakan berupa data kuantitatif harga saham penutupan bulanan PT. Astra International Tbk dari Juli 2009 hingga Juni 2024, yang diolah menggunakan perangkat lunak Minitab. Hasil analisis menunjukkan bahwa model terbaik adalah ARIMA (1,1,1), yang terdiri dari komponen AR orde 1, MA orde 1, dan satu kali proses differencing. Model ARIMA (1,1,1) terbukti memenuhi kriteria signifikansi pada setiap komponennya dan memiliki residual yang bersifat white noise atau acak.
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