Abstract
This study search for proper models to forecast Jakarta Composite Index (JCI) and then compare their forecasts. The stock index from strong markets, like Dow Jone Industrial Average (DJIA) and NIKKEi, as well as the index from regional markets, like SET, are expected to have strong influences on JCI. More specifically, it is expected that SET will be able to explain the realocation of short term Jund from Thailand to Indonesia through capital market due to unfavour political situation in Thailand. Other than that, exchange rate is also expected to have effect on JCI movements. By using the daily data from January 3, 2005 to January 2, 2006, the study found that the proper models to be used to forecast JCI are GARCH (2,2) Model and ARIMA (1,1,0) Model. The empirical results showed that the forecast from ARIMA Model is superior to that of GARCH Model.
References
Gustia, Irna, 2005, Terseret Wall Street dan Nikkei, IHSG Anjlok 36,329 Poin, Detiklnet, 18 April 2005.
Mart, Terry, 2001, Ekonofisika, Ilmu Fisika untuk Bersaing di Pasar Saham, Kompas, 5 Oktober 2001.
Nachrowi, Nachrowi D dan Hardius Usman, 2006. Ekonometrika untuk Analisis Ekonomi dan Keuangan. Pendekatan Populer dan Praktis, Lembaga Penerbit Fakultas Ekonomi Universitas Indonesia. Jakarta.
Nachrowi, Nachrowi D dan Hardius Usman, 2005. Penggunaan Teknik Ekonometri, Edisi Revisi, Rajawali Press. Jakarta.
Nachrowi, Nachrowi D dan Hardius Usman, 2004. Teknik Pengambilan Keputusan. Grasindo (Gramedia Widiasarana Indonesia). Jakarta. (ISBN: 979-732-415- X).
Novita, Mila dan Nachrowi D. Nachrowi, 2005, Dynamic Analysis of the Stock Price Index and the Exchange Rate using Vector Auto Regression (VAR): An Empirical Study in Jakarta Stock Exchange 2001-2004, Journal of Economics and Finance in Indonesia, Vol. 53(3), Page 263-278, December 2005.
Wahyudi, Sugeng, 2005, Kinerja di Pasar Uang vs Pasar Modal, Suara Merdeka, 7 Maret 2005.
Recommended Citation
Nachrowi, Nachrowi D. and Usman, Hardius
(2007)
"Prediksi IHSG dengan Model Garch dan Model Arima,"
Jurnal Ekonomi dan Pembangunan Indonesia: Vol. 7:
No.
2, Article 4.
DOI: 10.7454/jepi.v7i2.2246
pp.199-217
Available at:
https://scholarhub.ui.ac.id/jepi/vol7/iss2/4
