Attas, Delvhi (2025) Penerapan Model Geometric Brownian Motion Dalam Prediksi Pergerakan Harga Saham PT VALE Indonesia Tbk - Submit Jurnal. Bachelor thesis, Institut Teknologi Kalimantan.
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Abstract
Pergerakan harga saham yang fluktuatif dan sulit diprediksi menimbulkan tantangan bagi investor dalam mengambil keputusan investasi. Penelitian ini bertujuan untuk memodelkan dan memprediksi harga saham PT Vale Indonesia Tbk (INCO) menggunakan pemodelan Geometric Brownian Motion (GBM), sebuah model stokastik yang umum digunakan dalam analisis pergerakan harga saham. Data yang digunakan berupa harga saham penutupan harian dari Januari 2022 hingga Desember 2024, yang diperoleh melalui metode web scraping dari situs Yahoo Finance. Sebelum dilakukan pemodelan, data diuji kenormalannya menggunakan uji Kolmogorov-Smirnov dan ditransformasi menggunakan metode Quantile Transformation karena data awal tidak berdistribusi normal. Model GBM dibangun berdasarkan parameter historis berupa rata-rata log return, standar deviasi, volatilitas, dan drift. Proses simulasi dilakukan sebanyak 5, 10, dan 50 iterasi untuk memperoleh prediksi harga saham, dengan evaluasi akurasi menggunakan metode Mean Absolute Percentage Error (MAPE). Hasil penelitian menunjukkan bahwa model GBM mampu memprediksi pergerakan harga saham INCO dengan tingkat akurasi sangat baik, ditunjukkan oleh nilai MAPE sebesar 6%. Hal ini mengindikasikan bahwa model GBM layak digunakan sebagai alat bantu analisis dalam pengambilan keputusan investasi.
| Item Type: | Thesis (Bachelor) |
|---|---|
| Subjects: | H Social Sciences > HC Economic History and Conditions |
| Divisions: | Jurusan Matematika dan Teknologi Informasi > Ilmu Aktuaria |
| Depositing User: | Delvhi Delvhi Attas |
| Date Deposited: | 07 Jul 2025 05:39 |
| Last Modified: | 07 Jul 2025 05:39 |
| URI: | http://repository.itk.ac.id/id/eprint/22962 |
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