Peramalan Harga Saham dan Nilai Tukar: Teknik Box-Jenkins

Sri Mulyono
Additional contact information
Sri Mulyono: Lecturer, Fakultas Ekonomi Universitas Indonesia, Jakarta

Economics and Finance in Indonesia, 2000, vol. 48, 125-141

Abstract: This article attempts to socialize Box-Jenkins method (ARIMA model) for forecasting. Steps in using the method are model identification, estimation, diagnostic checking (testing) and forecasting. It also introduces variation of the method such as ARIMA which consider seasonal factor (SARIMA model) and combination between regression and ARIMA model (MARMA model). In the last part, It shows how to forecast composite stock price index in Jakarta Stock Exchange and nominal exchange rate of Rupiah per US dollar using the method.

Date: 2000
References: Add references at CitEc
Citations:

Downloads: (external link)
https://lpem.org/repec/lpe/efijnl/200006.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:lpe:efijnl:200006

Access Statistics for this article

More articles in Economics and Finance in Indonesia from Faculty of Economics and Business, University of Indonesia Contact information at EDIRC.
Bibliographic data for series maintained by Muhammad Halley Yudhistira ( this e-mail address is bad, please contact ).