Peramalan Harga Emas Antam Menggunakan Metode Generalized Autoregressive Conditional Heterokedasticity (GARCH)

  • Ihsan Fathoni Amri Prodi Sains Data Universitas Muhammadiyah Semarang
  • Sofi Anggi Astuti Prodi Statistika Universitas Muhammadiyah Semarang
  • Indah Sulistiya Prodi Statistika Universitas Muhammadiyah Semarang
  • Andri Suherdi Prodi Statistika Universitas Muhammadiyah Semarang
  • M.Al Haris Prodi Statistika Universitas Muhammadiyah Semarang
DOI: https://doi.org/10.52166/ujmc.v10i1.4679
Keywords: Harga Emas, Peramalan, GARCH

Abstract

ANTAM gold is a long-term inflation-resistant investment instrument with a low-risk profile. Socio-economic conditions greatly influence gold price fluctuations, so gold price forecasting is very important for investors to understand the dynamic of changes in gold price. This study proposes the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) methods to model the forecasting of gold price fluctuations. The data used is ANTAM’s daily gold price data for the period June 2018 – June 2023. The results show that by using the best ARIMA (0,1,1) GARCH (2,1) model, the gold price forecasting results are in the price range of Rp 947.100.

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Published
2024-06-25
How to Cite
Amri, I., Astuti, S., Sulistiya, I., Suherdi, A., & Haris, M. (2024). Peramalan Harga Emas Antam Menggunakan Metode Generalized Autoregressive Conditional Heterokedasticity (GARCH). UJMC (Unisda Journal of Mathematics and Computer Science), 10(1), 26 - 35. https://doi.org/https://doi.org/10.52166/ujmc.v10i1.4679
Issue
Vol 10 No 1 (2024): Unisda Journal of Mathematics and Computer Science
Section
Articles
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