Pendekatan Regresi Nonparametrik Kernel pada Data Indeks Harga Saham Gabungan
Stock is one of the investment instruments that is very popular among investors. One indicator of stock price movements in Indonesia is the Jakarta Composite Index (JCI). JCI data is a time series data about joint stock prices which can be analyzed by time series analysis method. However, with this...
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| Format: | Article |
| Language: | Indonesian |
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Universitas Islam Bandung
2019-06-01
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| Series: | Statistika |
| Subjects: | |
| Online Access: | https://ejournal.unisba.ac.id/index.php/statistika/article/view/4775 |
| _version_ | 1819091205305139200 |
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| author | Nur Azizah Komara Rifai |
| author_facet | Nur Azizah Komara Rifai |
| author_sort | Nur Azizah Komara Rifai |
| collection | DOAJ |
| description | Stock is one of the investment instruments that is very popular among investors. One indicator of stock price movements in Indonesia is the Jakarta Composite Index (JCI). JCI data is a time series data about joint stock prices which can be analyzed by time series analysis method. However, with this method there are assumptions that cannot be fulfilled. In this study, JCI data will be analyzed by a nonparametric method namely kernel regression with Nadaraya-Watson estimator. The weekly JCI closing price data from January 2015 to December 2015 is applied using various kernel functions that minimize the value of cross validation to get the optimal bandwidth. The results show that the biweight kernel regression with Mean Square Error = 9030,63 and bandwidth = 108,2 is the best model for predictions. |
| first_indexed | 2024-12-21T22:36:01Z |
| format | Article |
| id | doaj.art-bf1e5267f6124217b54e2bdc7b9b0595 |
| institution | Directory Open Access Journal |
| issn | 1411-5891 |
| language | Indonesian |
| last_indexed | 2024-12-21T22:36:01Z |
| publishDate | 2019-06-01 |
| publisher | Universitas Islam Bandung |
| record_format | Article |
| series | Statistika |
| spelling | doaj.art-bf1e5267f6124217b54e2bdc7b9b05952022-12-21T18:47:58ZindUniversitas Islam BandungStatistika1411-58912019-06-01191536110.29313/jstat.v19i1.47752777Pendekatan Regresi Nonparametrik Kernel pada Data Indeks Harga Saham GabunganNur Azizah Komara Rifai0Bandung Islamic UniversityStock is one of the investment instruments that is very popular among investors. One indicator of stock price movements in Indonesia is the Jakarta Composite Index (JCI). JCI data is a time series data about joint stock prices which can be analyzed by time series analysis method. However, with this method there are assumptions that cannot be fulfilled. In this study, JCI data will be analyzed by a nonparametric method namely kernel regression with Nadaraya-Watson estimator. The weekly JCI closing price data from January 2015 to December 2015 is applied using various kernel functions that minimize the value of cross validation to get the optimal bandwidth. The results show that the biweight kernel regression with Mean Square Error = 9030,63 and bandwidth = 108,2 is the best model for predictions.https://ejournal.unisba.ac.id/index.php/statistika/article/view/4775BandwidthJakarta Composite IndexKernel RegressionNadaraya-Watson EstimatorTime Series Analysis |
| spellingShingle | Nur Azizah Komara Rifai Pendekatan Regresi Nonparametrik Kernel pada Data Indeks Harga Saham Gabungan Statistika Bandwidth Jakarta Composite Index Kernel Regression Nadaraya-Watson Estimator Time Series Analysis |
| title | Pendekatan Regresi Nonparametrik Kernel pada Data Indeks Harga Saham Gabungan |
| title_full | Pendekatan Regresi Nonparametrik Kernel pada Data Indeks Harga Saham Gabungan |
| title_fullStr | Pendekatan Regresi Nonparametrik Kernel pada Data Indeks Harga Saham Gabungan |
| title_full_unstemmed | Pendekatan Regresi Nonparametrik Kernel pada Data Indeks Harga Saham Gabungan |
| title_short | Pendekatan Regresi Nonparametrik Kernel pada Data Indeks Harga Saham Gabungan |
| title_sort | pendekatan regresi nonparametrik kernel pada data indeks harga saham gabungan |
| topic | Bandwidth Jakarta Composite Index Kernel Regression Nadaraya-Watson Estimator Time Series Analysis |
| url | https://ejournal.unisba.ac.id/index.php/statistika/article/view/4775 |
| work_keys_str_mv | AT nurazizahkomararifai pendekatanregresinonparametrikkernelpadadataindekshargasahamgabungan |