Analisis Peramalan Harga Penutupan Saham PT. Telekomunikasi Indonesia dengan Support Vector Machine (SVM)

Dwi Rahmadini; Nur Diana Fahma Salsabila; Anang Kunaefi; Dwi Rolliawati

doi:10.21107/edutic.v11i1.22120

Analisis Peramalan Harga Penutupan Saham PT. Telekomunikasi Indonesia dengan Support Vector Machine (SVM)

Dwi Rahmadini, Nur Diana Fahma Salsabila, Anang Kunaefi, Dwi Rolliawati

Abstract

Harga pasar saham menjadi salah satu masalah yang signifikan di pasar finansial karena naik turunnya harga setiap hari. Beberapa faktor seperti lokal dan iklim ekonomi global, kondisi politik, dan aktivitas pasar menjadi dampak yang dapat mempengaruhi harga pasar saham. Menyebabkan pergerakan saham menjadi tidak menentu dan sulit untuk ditebak. Sehingga para investor harus lebih hati-hati dalam membeli saham atau mempertahankan saham yang dimiliki. Oleh karena itu, untuk membantu para investor membuat keputusan yang optimal, dibutuhkan suatu langkah yang tepat seperti memprediksi perilaku harga pasar saham. Penelitian ini memprediksi harga penutupan saham pada PT. Telekomunikasi Indonesia sehingga penelitian ini melakukan prediksi secara univariat. Tujuan pada penelitian ini adalah mengimplementasikan model serta melakukan prediksi harga saham di PT. Telekomunikasi Indonesia. Menggunakan metode SVM yang diuji melalui skenario dalam penginputan window_size dan fungsi kernel. Parameter yang digunakan untuk pemodelan adalah parameter C sebesar 100 untuk semua kernel, parameter degree sebesar 1 untuk kernel polynomial, dan gamma sebesar 0.0001 untuk kernel RBF. Sehingga didapatkan pemodelan fungsi kernel yang paling optimal yaitu kernel polynomial pada ukuran window_size sebesar 3, dengan RMSE sebesar 67.546 dan MAPE sebesar 0.01. Sehingga disimpulkan bahwa performa kernel polynomial memiliki kekuatan akurasi yang tinggi.

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DOI: https://doi.org/10.21107/edutic.v11i1.22120