PERAMALAN INDEKS HARGA SAHAM GABUNGAN (IHSG) MENGGUNAKAN ARIMAX DENGAN VARIABEL EKSOGEN COVID-19

Abstract

The Covid-19 pandemic is spreading rapidly throughout the world, one of which is Indonesia. The outbreak of the Covid-19 outbreak can affect the Indonesian economy, one of which is from the Jakarta Composite Index (JCI). JCI from before the Covid-19 pandemic on December 30, 2019 amounted to 6299.54. After the Covid-19 pandemic broke out widely in Indonesia from March 2, 2020, the JCI figure became 5361.25 and increasingly unstable until March 24, 2020, amounting to 3937.63. The Covid-19 pandemic caused the Jakarta Composite Indeks (JCI) to become unstable. The data used are daily data on the Jakarta Composite Index (JCI) except for holidays, totaling 388 data, from January 2,
2019 to July 30, 2020. In this study the ARIMAX method will be applied to
forecast the Jakarta Composite Index (JCI) with the exogenous covid variable. 19. Jakarta Composite Index (JCI) modeling using exogenous covid-19 variables was carried out with multiple regression and produced a deterministic trend ARIMAX model with ARIMA model residuals (1,1,2).
Keywords: Covid-19, Jakarta Composite Index (JCI), forecast, ARIMAX