Judul TA - Submit Jurnal/Seminar Peramalan dan Analisis Nilai Intrinsik Saham LQ-45 dengan Vector Autoregressive dan Discounted Cash Flow

Silalahi, Anisetha Aprito Br (2026) Judul TA - Submit Jurnal/Seminar Peramalan dan Analisis Nilai Intrinsik Saham LQ-45 dengan Vector Autoregressive dan Discounted Cash Flow. Bachelor thesis, Institut Teknologi Kalimantan.

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Abstract

Pasar modal berperan sebagai sarana investasi dan pendanaan, namun fluktuasi harga saham sering menyebabkan harga pasar tidak mencerminkan nilai fundamental perusahaan. Kondisi ini terjadi pada saham sektor perbankan dalam Indeks LQ45, khususnya PT Bank Rakyat Indonesia Tbk (BBRI), PT Bank Mandiri Tbk (BMRI), PT Bank Central Asia Tbk (BBCA), dan PT Bank Negara Indonesia Tbk (BBNI). Penelitian ini bertujuan untuk meramalkan harga saham menggunakan model Vector Autoregressive (VAR), menghitung nilai intrinsik saham melalui metode Discounted Cash Flow (DCF) dengan pendekatan Free Cash Flow to Equity (FCFE), serta menganalisis kewajaran harga saham berdasarkan perbandingan harga pasar dan nilai intrinsik. Penelitian menggunakan pendekatan kuantitatif dengan data sekunder berupa harga saham penutupan harian periode 2020–2025 dan laporan keuangan tahunan perusahaan. Tahapan analisis meliputi transformasi logaritma natural, uji stasioneritas Augmented Dickey-Fuller (ADF), penentuan lag optimal, estimasi model VAR(1), evaluasi akurasi menggunakan Mean Absolute Percentage Error (MAPE), serta valuasi saham menggunakan DCF-FCFE. Hasil penelitian menunjukkan seluruh variabel stasioner pada differencing pertama atau I(1). Model VAR(1) menghasilkan tingkat akurasi yang baik dengan nilai MAPE antara 5,28% hingga 17,81%. Peramalan tahun 2026 menunjukkan tren penurunan pada BBNI, BBRI, dan BMRI, serta kenaikan pada BBCA. Hasil valuasi menunjukkan BMRI dan BBRI berada pada kondisi undervalued, sedangkan BBCA dan BBNI tergolong overvalued. Integrasi metode VAR dan DCF menghasilkan rekomendasi investasi yang lebih komprehensif dan berbasis data. Kata kunci: Pasar modal, Saham perbankan, Vector Autoregressive, Discounted Cash Flow, Nilai intrinsik

Item Type:	Thesis (Bachelor)
Subjects:	A General Works > AI Indexes (General)
Divisions:	Jurusan Matematika dan Teknologi Informasi > Ilmu Aktuaria
Depositing User:	Anisetha Anisetha Aprito Br Silalahi
Date Deposited:	13 Jul 2026 07:00
Last Modified:	13 Jul 2026 07:00
URI:	http://repository.itk.ac.id/id/eprint/26712

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