Prediksi Indeks Harga Saham Gabungan (IHSG) dengan Geometric Brownian Motion

Dewi, Ni Putu Ratna Sukma (2021) Prediksi Indeks Harga Saham Gabungan (IHSG) dengan Geometric Brownian Motion. Other thesis, Universitas Prasetiya Mulya.

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Abstract

Peningkatan jumlah investor saham dan rata-rata transaksi harian di Bur sa Efek Indonesia menunjukkan tingginya minat masyarakat terhadap saham. Padahal saham adalah instrumen investasi dengan risiko yang tinggi. Prediksi harga saham ialah salah satu cara untuk mengatasi risiko tersebut. Peneli tian ini memprediksi harga harian IHSG pada periode Januari 2016 hingga Desember 2020 dengan metode Geometric Brownian Motion dan Maximum Likelihood Estimation untuk mengestimasi parameternya. Kemudian, ting kat akurasi model prediksi ditinjau dari nilai Mean Absolute Percentage Error (MAPE). Data yang diolah dengan menggunakan software R-Studio mengha silkan enam model prediksi yang masing-masing model memiliki perbedaan jumlah line, mulai dari 1 line hingga 1000 line. Berdasarkan nilai MAPE, model 6 adalah model prediksi yang terbaik.

Item Type: Thesis (Other)
Uncontrolled Keywords: JCI, Geometric Brownian Motion, Maximum Likelihood Estimation
Subjects: H Social Sciences > HG Finance
Divisions: School of Science, Technology, Engineering and Mathematics > S1 Business Mathematics
Depositing User: Librarian 04 at Universitas Prasetiya Mulya
Date Deposited: 01 Mar 2026 18:42
Last Modified: 01 Mar 2026 18:42
URI: https://elib.prasetiyamulya.ac.id/id/eprint/836

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