title: ANALYSIS OF VECTOR ERROR CORRECTION MODEL (VECM) AND  VECTOR ERROR CORRECTION MODEL WITH EXOGENOUS  VARIABLES (VECMX) IN FORECASTING CLOSING PRICES OF BLUE    CHIP BANK STOCKS IN LQ45 INDEX CATEGORY
creator: AYU , APRIANTI
subject: 500 ilmu pengetahuan alam dan matematika
subject: 510 Matematika
description: This study utilizes the Vector Error Correction Model (VECM) and Vector Error  Correction Model With Exogenous Variables (VECMX) to forecast the closing  prices of Blue-Chip bank stocks in the LQ45 Index category, including BCA,  Mandiri, BRI, and BNI, which are crucial components of the stock market, along  with the Jakarta Composite Index (IHSG) as an exogenous variable. The results  show that the VECM(1) and VECMX(1,4) models provide optimal results in  forecasting the closing prices of Blue-Chip stocks in the LQ45 Index category.  Model performance evaluation based on the smallest Root Mean Square Error  (RMSE) value indicates that the VECM(1) model with cointegration rank=1  offers the best performance. Further analysis using Granger Causality, Impulse  Response Function (IRF), and Variance Decomposition (VD) reveals causal  relationships among these Blue-Chip stocks and responses to shocks occurring in  market changes. Forecasting indicates a significant price increase in 2024, with  BBCA showing the highest growth, followed by BMRI, BBNI, and BBRI. This  study provides in-depth information on the dynamics of Blue-Chip stocks in the  LQ45 Index category and can serve as valuable guidance for investors and  decision-makers in the capital market.  Keywords: VECM, VECMX, Blue Chip Stock Closing Prices, LQ45 Index,  Forecasting.    ABSTRAK    ANALISIS MODEL VECTOR ERROR CORRECTION MODEL (VECM)  DAN VECTOR ERROR CORRECTION MODEL WITH EXOGENOUS  VARIABLES (VECMX) PADA PERAMALAN HARGA PENUTUPAN  SAHAM BANK BLUE CHIP KATEGORI INDEKS LQ45    OLEH  AYU APRIANTI    Penelitian ini menggunakan Vector Error Correction Model (VECM) dan Vector  Error Correction Model With Exogenous Variables (VECMX) untuk meramalkan  harga penutupan saham bank Blue-Chip dalam kategori Indeks LQ45, meliputi  BCA, Mandiri, BRI, dan BNI, yang merupakan komponen penting dalam pasar  saham, serta Indeks Harga Saham Gabungan (IHSG) sebagai variabel eksogen.  Hasil penelitian menunjukkan bahwa model VECM(1) dan VECMX(1,4)  memberikan hasil optimal dalam meramalkan harga penutupan saham Blue-Chip  dalam kategori Indeks LQ45. Evaluasi kinerja model berdasarkan nilai Root Mean  Square Error (RMSE) terkecil menunjukkan bahwa model VECM(1) dengan  kointegrasi rank=1 memberikan kinerja terbaik. Analisis lebih lanjut  menggunakan Granger Causality, Impulse Response Function (IRF), dan  Variance Decomposition (VD) mengungkapkan hubungan kausal di antara  saham-saham Blue-Chip ini dan respons terhadap shock yang terjadi pada  perubahan pasar. Peramalan menunjukkan peningkatan harga yang signifikan  pada tahun 2024, dengan BBCA menunjukkan pertumbuhan tertinggi, diikuti oleh  BMRI, BBNI, dan BBRI. Penelitian ini memberikan informasi mendalam tentang  dinamika saham Blue-Chip dalam kategori Indeks LQ45 dan dapat menjadi  panduan berharga bagi investor dan pengambil keputusan di pasar modal.  Kata kunci : VECM, VECMX, Harga Penutupan Saham Blue Chip,  IndeksLQ45, Peramalan.
date: 2024-06-24
type: Tesis
type: NonPeerReviewed
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identifier: http://digilib.unila.ac.id/86684/1/File%20ABSTRAK-ABSTRACT%20-%20Ayu%20Aprianti.pdf
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identifier: http://digilib.unila.ac.id/86684/2/File%20FULL%20THESIS%20-%20Ayu%20Aprianti.pdf
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identifier: http://digilib.unila.ac.id/86684/3/File%20FULL%20THESIS%20TANPA%20BAB%20PEMBAHASAN%20-%20Ayu%20Aprianti.pdf
identifier:   AYU , APRIANTI  (2024) ANALYSIS OF VECTOR ERROR CORRECTION MODEL (VECM) AND VECTOR ERROR CORRECTION MODEL WITH EXOGENOUS VARIABLES (VECMX) IN FORECASTING CLOSING PRICES OF BLUE CHIP BANK STOCKS IN LQ45 INDEX CATEGORY.  Masters thesis, UNIVERSITAS LAMPUNG.   
relation: http://digilib.unila.ac.id/86684/