ANALISIS AKURASI PREDIKSI HARGA SAHAM PT. ANEKA TAMBANG TBK. (ANTAM) DENGAN KALMAN FILTER, DOUBLE EXPONENTIAL SMOOTHING DAN VALUE AT RISK

Intan, Dwi Nurqotimah (2026) ANALISIS AKURASI PREDIKSI HARGA SAHAM PT. ANEKA TAMBANG TBK. (ANTAM) DENGAN KALMAN FILTER, DOUBLE EXPONENTIAL SMOOTHING DAN VALUE AT RISK. Bachelor thesis, Institut Teknologi Kalimantan.

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Abstract

Penelitian ini bertujuan untuk menganalisis dan membandingkan tingkat akurasi peramalan harga saham PT. Aneka Tambang Tbk (ANTAM) menggunakan metode Kalman Filter (KF) dan Double Exponential Smoothing (DES) Holt dengan pendekatan Value at Risk (VaR). Pergerakan harga saham yang bersifat fluktuatif dan mengandung noise menuntut penggunaan metode peramalan yang adaptif dan mampu menangkap dinamika data deret waktu (time series). Data yang digunakan berupa harga penutupan (closing price) saham harian periode Agustus 2020 hingga Agustus 2025. Metode KF diterapkan melalui pendekatan pembaruan keadaan (state updating) untuk meminimalkan covariance error peramalan, sedangkan metode DES digunakan untuk menangkap pola trend pada data saham ANTM. Tingkat akurasi kedua metode dievaluasi menggunakan indikator Mean Absolute Scaled Error (MASE). Mean Absolute Scaled Error (MASE) digunakan karena nilai yang dihasilkan mampu menangkap nilai ekstrim dibandingkan ukuran kesalahan lainnya. Selanjutnya, estimasi risiko investasi dihitung menggunakan pendekatan Value at Risk (VaR) historis untuk mengukur potensi kerugian maksimum pada tingkat kepercayaan 95% menggunakan distribusi empiris dengan uji backtesting Kupiec Test untuk validasi hasil perhitungan Value at Risk (VaR) historis. Hasil penelitian menunjukkan model Kalman Filter (KF) Tuned dengan nilai (MASE) sebesar 0,023 sedangkan model Double Exponential Smoothing (DES) Holt dengan Mean (MASE) sebesar 1,4418. Keduanya, KF Tuned menunjukkan akurasi terbaik sedangkan, DES holt belum mengikuti naive forecast berdasarkan MASE sementara itu, hasil Value at Risk (VaR) historis menunjukkan terdapat jumlah violation sebesar 48 kejadian, probabilitas violation aktual yang diperoleh sebesar 0,0496 atau 4,96% sangat dekat dengan probabilitas violation teoritis sebesar 5% yang diharapkan pada tingkat kepercayaan 95%. ???????????????? = 0,0027 < 3,8415 nilai tersebut lebih kecil dibandingkan nilai kritis distribusi Chi-Square merupakan batasan maksimum toleransi perbedaan nilai violation dimana, diperoleh taraf signifikansi 5% sebesar 3,8415. Selain itu, diperoleh p-value sebesar 0,9588 yang lebih besar dari α = 0,05 maka, ????0 diterima. Sehingga, model Value at Risk (VaR) dapat diterima dan valid untuk mengukur risiko saham ANTM pada tingkat kepercayaan 95%.

Item Type: Thesis (Bachelor)
Uncontrolled Keywords: Peramalan harga saham, Double Exponential Smoothing (DES), Kalman Filter (KF), Mean Absolute Scaled Error (MASE), Value at Risk (VaR).
Subjects: H Social Sciences > HA Statistics
Q Science > Q Science (General)
Divisions: Jurusan Matematika dan Teknologi Informasi > Ilmu Aktuaria
Depositing User: Intan Dwi Nurqotimah
Date Deposited: 20 Jul 2026 07:30
Last Modified: 20 Jul 2026 08:16
URI: http://repository.itk.ac.id/id/eprint/27441

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