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Journal > Jurnal Gaussian > PERAMALAN LAJU INFLASI, SUKU BUNGA INDONESIA DAN INDEKS HARGA SAHAM GABUNGAN MENGGUNAKAN METODE VECTOR AUTOREGRESSIVE (VAR)

 

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Jurnal Gaussian
Vol 6, No 1 (2017): Wisuda Periode Januari 2017
PERAMALAN LAJU INFLASI, SUKU BUNGA INDONESIA DAN INDEKS HARGA SAHAM GABUNGAN MENGGUNAKAN METODE VECTOR AUTOREGRESSIVE (VAR)
Article Info   ABSTRACT
Published date:
17 Jan 2017
 
Inflation, Bi Rate (SBI) and the composite stock price index (IHSG) is an economic instrument and often seen as divorce progression of the economic progress of a country. Inflation, Bi Rate and IHSG is a multivariate time series that show activity for a certain period. One method to analyze multivariate time series is Vector Autoregressive (VAR). VAR method is a simultaneous equation model has several endogeneous variables. This research uses secondary data of inflation, SBI and IHSG on period January to June 2016. The VAR model acquired is a model VAR(4), with parameters estimated using the Ordinary Least Square (OLS). The selection model VAR(4) is based on the smallest value of AIC 4,255482 with value of MAPE is 47,11%. Keywords:  Inflation, SBI, IHSG, Time Series Multivariate, Forecasting, Vector Autoregressive (VAR).
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