Azizah, Alisa Jihan (2025) Prediksi Risiko Kerugian Saham Menggunakan Model Arima Fungsi Transfer Dan VaR (Studi Kasus: PT Astra International Tbk). Undergraduate thesis, UPN Veteran Jawa Timur.
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Abstract
Dynamic economic growth requires stable and diverse sources of financing, one of which is the capital market. Stock investment in the capital market requires investors to consider risk and return, which are strongly influenced by stock price fluctuations. PT Astra International Tbk (ASII), as a major company in the automotive sector, has shown a generally positive stock price trend. However, stock price volatility remains a challenge, particularly due to external factors such as the rupiah exchange rate against the US dollar. During the 2021–2024 period, ASII experienced pressure from rupiah depreciation and unfavorable market conditions, creating uncertainty in investment decision-making. To address these conditions, this study applies the ARIMA transfer function model to analyze the relationship between the rupiah exchange rate and ASII stock prices, combined with risk measurement using the Value at Risk (VaR) method. The novelty of this research lies in the integration of the ARIMA transfer function and VaR, which has rarely been applied simultaneously in previous studies, thus providing both price prediction and comprehensive risk estimation. The results show that the ARIMA transfer function model with input series (2,1,1) and output series (0,1,3) successfully predicts ASII stock prices. The prediction indicates that ASII stock prices remain relatively stable in the range of Rp5,226 to Rp5,245. Model performance evaluation produces a Mean Absolute Error (MAE) of 75.87, Root Mean Square Error (RMSE) of 93.58, and Mean Absolute Percentage Error (MAPE) of 1.55%, indicating a high level of prediction accuracy. Furthermore, the VaR calculation shows that at the 95% confidence level, the potential daily loss ranges between -2.06% and -2.59%, while at the 99% confidence level, the potential loss ranges between -3.18% and -3.71%, thus providing a more conservative view of investment risk. Keywords: ASII, Exchange Rate, Prediction, Risk
| Item Type: | Thesis (Undergraduate) | ||||||||||||
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| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HG Finance > HG4001-4285 Finance management. Business finance. Corporation finance H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation |
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| Divisions: | Faculty of Computer Science > Departemen of Data Science | ||||||||||||
| Depositing User: | Alisa Jihan Azizah | ||||||||||||
| Date Deposited: | 19 Sep 2025 03:44 | ||||||||||||
| Last Modified: | 19 Sep 2025 03:44 | ||||||||||||
| URI: | https://repository.upnjatim.ac.id/id/eprint/43765 |
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