Peramalan Indeks Saham LQ45 Menggunakan Metode Seasonal Autoregressive Integreted Moving Average (SARIMA)
Abstract
Indeks LQ45 merupakan salah satu indikator penting dalam pasar modal Indonesia yang mencerminkan kinerja 45 saham likuid. Peramalan yang akurat terhadap indeks ini dapat membantu investor dan analis keuangan dalam pengambilan keputusan investasi yang lebih baik. Penelitian ini bertujuan untuk meramalkan indeks LQ45 menggunakan metode Seasonal Autoregressive Integrated Moving Average (SARIMA). Data yang digunakan adalah harga penutupan harian indeks LQ45 periode Januari 2015 hingga Desember 2025. Tahapan penelitian meliputi uji stasioneritas data, identifikasi model, estimasi parameter, pemeriksaan diagnostik, dan peramalan. Hasil penelitian menunjukkan bahwa model SARIMA mampu menangkap pola tren dan musiman dalam data, menghasilkan ramalan yang relatif akurat. Model terbaik yang diperoleh adalah SARIMA(0,1,1)(0,1,1) dengan nilai AIC yang rendah. Hasil peramalan untuk 30 hari ke depan menunjukkan tren yang fluktuatif namun stabil. Studi ini menyimpulkan bahwa metode SARIMA efektif untuk peramalan jangka pendek indeks LQ45 dan dapat dijadikan acuan dalam pengambilan keputusan investasi.
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