Non Parametric Kernel in Time Series Data of Composite Stock Pricing: An Application at Indonesia Stock Exchange

Astutik, Yayuk Setyaning (2019) Non Parametric Kernel in Time Series Data of Composite Stock Pricing: An Application at Indonesia Stock Exchange. In: International Conference 2nd Global Conference on Applied Science, Environment & Industrial Engineering (GSEI), 13-14 June 2019, Seoul, South Korea.

[img] Text
3. Book of Abstract GSEI 2019.pdf

Download (1MB)

Abstract

In this paper, non-parametric kernel time series data is introduced so that it can be used to do IHSG forecasting for several future periods. The Composite Stock Price Index(IHSG) is one of the stock price indices in Indonesia with time series data. We estimate non-parametrical composite stock pricing through the selection of optimum bandwidth by using cross validation with result of 305,1946. Nadaraya Watson’s estimation and Gaussian kernel functions are used in kernel non-parametric regression. We compare multiple regression analysis and kernel non-parametric regression based on the Mean Absolute Percentage Error(MAPE)measurement in determining the best method with accuracy of 5,4%. Increasing the inflation parameters of one unit will increase the IHSG value. But an increase in exchange rates and interest rates in one unit will reduce the IHSG value. Exchange rate has a significant effect on the IHSG using non-parametric regression. These predictions can be used by investors to consider a policy of holding shares or selling shares of a company.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: Non Parametric, Kernel, Bandwidth, Nadaraya-Watson, IHSG
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
H Social Sciences > HG Finance > HG4028.V3 Valuation. Economic value
Divisions: School of Economic and Business > Accounting
Depositing User: Admin Repository Universitas Internasional Batam
Date Deposited: 08 Aug 2019 16:20
Last Modified: 08 Aug 2019 16:20
URI: http://repository.uib.ac.id/id/eprint/1387

Actions (login required)

View Item View Item