ANALISIS PERBANDINGAN KINERJA MODEL AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) DAN GATED RECURRENT UNIT (GRU) DALAM MEMPREDIKSI HARGA SAHAM PT. ASURANSI TUGU PRATAMA INDONESIA TBK - Submit Jurnal

Hidayat, Nurul (2026) ANALISIS PERBANDINGAN KINERJA MODEL AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) DAN GATED RECURRENT UNIT (GRU) DALAM MEMPREDIKSI HARGA SAHAM PT. ASURANSI TUGU PRATAMA INDONESIA TBK - Submit Jurnal. Bachelor thesis, Institut Teknologi Kalimantan.

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Abstract

Perkembangan pasar modal Indonesia yang terus meningkat diikuti oleh pertumbuhan jumlah investor, tetapi pergerakan harga saham masih fluktuatif dan sulit diprediksi. Penelitian ini bertujuan membandingkan kinerja Autoregressive Integrated Moving Average (ARIMA) dan Gated Recurrent Unit (GRU) dalam memprediksi harga penutupan harian saham PT Asuransi Tugu Pratama Indonesia Tbk. (TUGU) periode Januari 2021–Desember 2025. Data dibagi menjadi data latih 80% dan data uji 20%. Pemodelan ARIMA dilakukan melalui pengujian stasioneritas, identifikasi Autocorrelation Function (ACF), Partial Autocorrelation Function (PACF), estimasi parameter, uji diagnostik residual, dan evaluasi. Sementara itu, GRU dibentuk melalui normalisasi, pembentukan sekuens, pelatihan baseline, serta optimasi hyperparameter menggunakan Grid Search. Evaluasi dilakukan menggunakan Mean Absolute Percentage Error (MAPE). Hasil penelitian menunjukkan ARIMA(1,1,1) memperoleh MAPE data uji sebesar 3,6255%, sedangkan GRU Optimasi memperoleh MAPE sebesar 1,2255%. Dengan demikian, GRU Optimasi merupakan model terbaik pada penelitian ini berdasarkan nilai MAPE yang lebih rendah dibandingkan model ARIMA.

Item Type:	Thesis (Bachelor)
Subjects:	Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Divisions:	Jurusan Matematika dan Teknologi Informasi > Ilmu Aktuaria
Depositing User:	Nurul Hidayat
Date Deposited:	16 Jul 2026 06:30
Last Modified:	16 Jul 2026 06:30
URI:	http://repository.itk.ac.id/id/eprint/26642

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