Jakarta Composite Index

Tgl
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Januari
Februari Maret
April
1,461.75
1,310.64 1,256.11 1,499.73
1,304.33 1,264.82 1,500.36
1,320.36 1,289.38
1,437.34 1,328.07 1,288.07
1,435.54 1,350.64 1,286.69 1,516.64
1,421.47
1,490.86
1,402.66
1,465.75
1,416.67 1,342.23
1,332.13 1,300.22
1,324.82 1,314.52
1,406.55 1,325.42 1,310.41
1,399.73 1,338.74 1,327.44 1,540.40
1,386.91
1,570.26
1,343.49
1,593.66
1,363.88 1,342.00 1,324.85 1,625.09
1,318.04 1,312.09 1,634.79
1,330.61 1,322.84
1,350.69 1,323.70 1,341.60
1,344.15 1,296.94 1,360.89 1,661.85
1,321.45
1,628.85
1,327.32
1,615.23
1,315.59 1,312.44 1,406.65 1,592.70
1,295.87 1,436.12 1,591.34
1,300.11 1,419.97
1,290.32
1,336.63 1,285.48 1,462.75 1,576.08
1,321.45
1,595.92
1,324.65
1,644.19
1,332.67
1,419.09 1,722.77
1,434.07
-

Dasar yang diperlukan dalam memasuki langkah-langkah metode box-jenkins:

a) Menghitung koefisien autokorelasi
Derajat keyakinan: 95% Z = 1,96
Batas signifikansi koefisien autokorelasi:
Koefisien autokorelasi:
time lag 1:
0.930 time lag 2:
Koefisien autokorelasi pada beberapa time lag bersifat signifikan, kita dapat menyimpulkan
bahwa data tersebut menunjukkan pola trend
X

Y
1 1,437.338
2 1,435.537

Yt-
35.205
33.404

Yt+1-
33.404
19.337

Yt+2-
19.337
0.528

Yt+3-
0.528
14.537

3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49

1,421.470
1,402.661
1,416.670
1,406.553
1,399.733
1,386.906
1,343.494
1,363.876
1,350.687
1,344.151
1,321.453
1,327.323
1,315.585
1,336.631
1,321.451
1,324.650
1,332.667
1,310.643
1,304.331
1,320.363
1,328.075
1,350.641
1,342.226
1,332.129
1,324.824
1,325.421
1,338.742
1,342.002
1,318.040
1,330.610
1,323.696
1,296.943
1,312.439
1,295.869
1,300.108
1,290.321
1,285.476
1,256.109
1,264.816
1,289.380
1,288.074
1,286.693
1,300.215
1,314.519
1,310.414
1,327.437
1,324.847

19.337
0.528
14.537
4.420
-2.400
-15.227
-58.639
-38.257
-51.446
-57.982
-80.680
-74.810
-86.548
-65.502
-80.682
-77.483
-69.466
-91.490
-97.802
-81.770
-74.058
-51.492
-59.907
-70.004
-77.309
-76.712
-63.391
-60.131
-84.093
-71.523
-78.437
-105.191
-89.694
-106.264
-102.025
-111.812
-116.657
-146.024
-137.317
-112.753
-114.059
-115.440
-101.918
-87.614
-91.719
-74.696
-77.286

0.528
14.537
4.420
-2.400
-15.227
-58.639
-38.257
-51.446
-57.982
-80.680
-74.810
-86.548
-65.502
-80.682
-77.483
-69.466
-91.490
-97.802
-81.770
-74.058
-51.492
-59.907
-70.004
-77.309
-76.712
-63.391
-60.131
-84.093
-71.523
-78.437
-105.191
-89.694
-106.264
-102.025
-111.812
-116.657
-146.024
-137.317
-112.753
-114.059
-115.440
-101.918
-87.614
-91.719
-74.696
-77.286
-90.041

14.537
4.420
-2.400
-15.227
-58.639
-38.257
-51.446
-57.982
-80.680
-74.810
-86.548
-65.502
-80.682
-77.483
-69.466
-91.490
-97.802
-81.770
-74.058
-51.492
-59.907
-70.004
-77.309
-76.712
-63.391
-60.131
-84.093
-71.523
-78.437
-105.191
-89.694
-106.264
-102.025
-111.812
-116.657
-146.024
-137.317
-112.753
-114.059
-115.440
-101.918
-87.614
-91.719
-74.696
-77.286
-90.041
-79.296

4.420
-2.400
-15.227
-58.639
-38.257
-51.446
-57.982
-80.680
-74.810
-86.548
-65.502
-80.682
-77.483
-69.466
-91.490
-97.802
-81.770
-74.058
-51.492
-59.907
-70.004
-77.309
-76.712
-63.391
-60.131
-84.093
-71.523
-78.437
-105.191
-89.694
-106.264
-102.025
-111.812
-116.657
-146.024
-137.317
-112.753
-114.059
-115.440
-101.918
-87.614
-91.719
-74.696
-77.286
-90.041
-79.296
-60.530

50
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59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
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75
76
77
78
79

1,312.092
1,322.837
1,341.603
1,360.889
1,406.647
1,436.116
1,419.973
1,462.745
1,419.092
1,434.074
1,461.748
1,499.733
1,500.361
1,516.641
1,490.857
1,465.750
1,540.403
1,570.261
1,593.663
1,625.087
1,634.790
1,661.845
1,628.849
1,615.232
1,592.700
1,591.336
1,576.081
1,595.915
1,644.185
1,722.766

-90.041
-79.296
-60.530
-41.244
4.514
33.983
17.840
60.612
16.959
31.941
59.615
97.600
98.228
114.508
88.724
63.617
138.270
168.128
191.530
222.954
232.657
259.712
226.716
213.099
190.567
189.203
173.948
193.782
242.052
320.633

-79.296
-60.530
-41.244
4.514
33.983
17.840
60.612
16.959
31.941
59.615
97.600
98.228
114.508
88.724
63.617
138.270
168.128
191.530
222.954
232.657
259.712
226.716
213.099
190.567
189.203
173.948
193.782
242.052
320.633

-60.530
-41.244
4.514
33.983
17.840
60.612
16.959
31.941
59.615
97.600
98.228
114.508
88.724
63.617
138.270
168.128
191.530
222.954
232.657
259.712
226.716
213.099
190.567
189.203
173.948
193.782
242.052
320.633

-41.244
4.514
33.983
17.840
60.612
16.959
31.941
59.615
97.600
98.228
114.508
88.724
63.617
138.270
168.128
191.530
222.954
232.657
259.712
226.716
213.099
190.567
189.203
173.948
193.782
242.052
320.633

JUMLAH

Untuk lebih jelas lagi melihat koefisien autokorelasi pada beberapa time lag, berikut ini disaj
Program IBM SPSS Statistics:

1,800.000

1,700.000

1,600.000

1,500.000

1,400.000

1,300.000

1,200.000
1

10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58

h metode box-jenkins:

0.878
time lag 3:
nifikan, kita dapat menyimpulkan

(Yt-)(Yt+1-) (Yt-)(Yt+2-)
1,175.978
645.939

680.773
17.636

0.837

(Yt-)(Yt+3-)
18.587
485.598

(Yt-)2
1,239.397
1,115.805

1,402.13

10.210
7.675
64.248
-10.608
36.548
892.910
2,243.346
1,968.162
2,982.927
4,677.989
6,035.653
6,474.652
5,669.072
5,284.857
6,251.520
5,382.438
6,355.419
8,947.900
7,997.321
6,055.766
3,813.409
3,084.755
4,193.744
5,411.893
5,930.487
4,862.827
3,811.750
5,056.598
6,014.587
5,610.054
8,250.844
9,434.994
9,531.263
10,841.581
11,407.647
13,043.705
17,034.774
20,051.587
15,482.912
12,860.502
13,166.978
11,765.421
8,929.450
8,035.874
6,851.048
5,772.960
6,958.914

281.113
2.333
-34.891
-67.298
140.740
582.554
3,016.701
2,218.230
4,150.625
4,337.639
6,982.681
4,900.203
6,982.897
5,075.303
5,604.673
7,088.911
6,793.923
7,481.146
7,243.060
4,210.521
4,436.638
3,604.634
4,631.362
5,370.114
4,900.658
4,612.754
5,330.734
4,300.741
6,596.024
7,523.535
7,035.366
11,177.949
9,151.076
11,881.586
11,901.980
16,327.258
16,019.039
16,464.652
15,662.248
13,016.214
11,624.672
10,114.167
9,347.823
6,544.420
7,088.600
6,725.708
6,128.476

85.463
-1.267
-221.364
-259.157
91.822
783.380
3,399.993
3,086.579
3,848.644
5,018.239
5,284.693
6,035.840
6,706.013
4,550.160
7,381.605
7,578.023
5,680.252
6,775.568
5,036.036
4,898.651
5,184.353
3,980.779
4,595.609
4,437.595
4,648.640
6,450.938
4,533.898
4,716.498
8,845.801
6,415.202
8,335.030
10,732.078
10,028.914
12,396.455
14,898.121
15,353.710
13,153.468
16,655.360
15,851.882
11,491.567
9,993.172
10,588.048
7,612.873
6,771.341
8,258.476
5,923.099
4,678.126

373.934
0.279
211.332
19.533
5.761
231.872
3,438.489
1,463.608
2,646.653
3,361.928
6,509.235
5,596.526
7,490.562
4,290.516
6,509.639
6,003.636
4,825.516
8,370.371
9,565.277
6,686.387
5,484.622
2,651.429
3,588.900
4,900.522
5,976.625
5,884.705
4,018.398
3,615.729
7,071.655
5,115.530
6,152.384
11,065.048
8,045.073
11,292.002
10,409.127
12,501.953
13,608.933
21,323.018
18,855.967
12,713.246
13,009.463
13,326.401
10,387.285
7,676.219
8,412.381
5,579.497
5,973.131

7,139.896
4,799.791
2,496.503
-186.174
153.398
606.255
1,081.316
1,027.916
541.686
1,904.160
5,818.419
9,587.047
11,247.885
10,159.601
5,644.350
8,796.316
23,247.049
32,201.544
42,702.367
51,871.794
60,423.799
58,880.850
48,312.939
40,609.624
36,055.836
32,911.472
33,707.980
46,905.307
77,609.841

5,450.186
3,270.488
-273.231
-1,401.595
80.529
2,059.775
302.547
1,936.005
1,011.008
3,117.438
5,855.857
11,175.974
8,715.175
7,284.650
12,267.860
10,695.792
26,482.843
37,484.798
44,560.782
57,903.814
52,747.050
55,344.353
43,204.575
40,318.957
33,148.737
36,664.124
42,104.448
62,132.888

972,619.247

918,853.726

3,713.655
-357.940
-2,056.990
-735.792
273.601
576.316
569.826
3,613.381
1,655.195
3,137.496
6,826.389
8,659.457
6,248.966
15,833.013
14,916.981
12,184.556
30,827.838
39,116.143
49,742.625
50,547.225
49,578.960
49,492.522
42,895.334
37,068.133
36,928.442
45,796.951
55,773.453

8,107.387
6,287.861
3,663.885
1,701.070
20.376
1,154.842
318.264
3,673.811
287.607
1,020.225
3,553.944
9,525.754
9,648.734
13,112.075
7,871.943
4,047.119
19,118.584
28,267.014
36,683.729
49,708.472
54,129.265
67,450.307
51,400.130
45,411.170
36,315.769
35,797.763
30,257.896
37,551.451
58,589.155
102,805.500

875,620.122 1,046,076.597

beberapa time lag, berikut ini disajikan koefisien autokorelasi hasil

Series1, 1,722.766

58 61 64 67 70 73 76 79

= Yt-Yt-1
b) PembedaanYData:
Data Asli
1,437.338
1,435.537
1,421.470
1,402.661
1,416.670
1,406.553
1,399.733
1,386.906
1,343.494
1,363.876
1,350.687
1,344.151
1,321.453
1,327.323
1,315.585
1,336.631
1,321.451
1,324.650
1,332.667
1,310.643
1,304.331
1,320.363
1,328.075
1,350.641
1,342.226
1,332.129
1,324.824
1,325.421
1,338.742
1,342.002
1,318.040
1,330.610
1,323.696
1,296.943
1,312.439
1,295.869
1,300.108
1,290.321
1,285.476
1,256.109
1,264.816
1,289.380

Data Hasil
Transformasi
Perhitungan koefisien autokorelasi oleh SPSS:
-1.801
-14.066
-18.809
14.009
-10.118
-6.820
-12.827
-43.411
20.382
-13.189
-6.536
-22.698
5.870
-11.738
21.046
-15.180
3.199
8.017
-22.024
-6.313
16.032
7.712
22.566
-8.415
-10.096
-7.305
0.597
13.321
3.260
-23.962
12.570
-6.914
-26.753
15.496
-16.569
4.239
-9.787
-4.845
-29.367
8.707
24.564

Koefisien autokorelasi pada data yang telah ditransformasi seca

signifikan dari nol
Oleh karena itu data yang telah ditransformasi melalui pembed
Selanjutnya identifikasi model sementara dapat dilanjutkan
Dengan pembedaan/diferensiasi pertama data sudah bersifat s
Pada grafik di atas kita dapat melihat bahwa dalam ACF dan Par
secara eksponensial ke 0 dan tidak ada koefisien autokorelasi y
kita dapat menyimpulkan:
Notasi ARIMA (0,1,0)
dengan fungsi:

1,288.074
1,286.693
1,300.215
1,314.519
1,310.414
1,327.437
1,324.847
1,312.092
1,322.837
1,341.603
1,360.889
1,406.647
1,436.116
1,419.973
1,462.745
1,419.092
1,434.074
1,461.748
1,499.733
1,500.361
1,516.641
1,490.857
1,465.750
1,540.403
1,570.261
1,593.663
1,625.087
1,634.790
1,661.845
1,628.849
1,615.232
1,592.700
1,591.336
1,576.081
1,595.915
1,644.185
1,722.766

-1.306
-1.381
13.522
14.304
-4.105
17.023
-2.590
-12.755
10.745
18.766
19.286
45.758
29.469
-16.143
42.772
-43.653
14.982
27.674
37.985
0.628
16.280
-25.784
-25.107
74.653
29.858
23.402
31.424
9.703
27.055
-32.996
-13.617
-22.532
-1.364
-15.255
19.834
48.270
78.581

yang telah ditransformasi secara berurutan tidak berbeda secara

transformasi melalui pembedaan pertama bersifat stasioner

mentara dapat dilanjutkan
pertama data sudah bersifat stasioner, maka notasinya ARIMA (p,1,q)
hat bahwa dalam ACF dan Partial ACF tidak menunjukkan adanya penurunan
k ada koefisien autokorelasi yang berbeda secara signifikan. Oleh karena itu
dengan fungsi:

Y = Yt-i+et

RAMALAN PERIODE KE-80

Periode
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41

Indeks
Ramalan
1,437.338
1,435.537 1,437.338
1,421.470 1,433.735
1,402.661 1,419.669
1,416.670 1,400.860
1,406.553 1,414.869
1,399.733 1,404.751
1,386.906 1,397.932
1,343.494 1,385.104
1,363.876 1,341.693
1,350.687 1,362.075
1,344.151 1,348.886
1,321.453 1,342.350
1,327.323 1,319.652
1,315.585 1,325.522
1,336.631 1,313.784
1,321.451 1,334.830
1,324.650 1,319.649
1,332.667 1,322.849
1,310.643 1,330.866
1,304.331 1,308.842
1,320.363 1,302.529
1,328.075 1,318.561
1,350.641 1,326.273
1,342.226 1,348.840
1,332.129 1,340.424
1,324.824 1,330.328
1,325.421 1,323.023
1,338.742 1,323.620
1,342.002 1,336.941
1,318.040 1,340.201
1,330.610 1,316.239
1,323.696 1,328.809
1,296.943 1,321.895
1,312.439 1,295.141
1,295.869 1,310.637
1,300.108 1,294.068
1,290.321 1,298.307
1,285.476 1,288.520
1,256.109 1,283.674
1,264.816 1,254.308

Error
-1.801
-12.265
-17.008
15.811
-8.316
-5.018
-11.026
-41.610
22.183
-11.387
-4.735
-20.896
7.671
-9.937
22.847
-13.379
5.001
9.819
-20.222
-4.511
17.833
9.514
24.368
-6.614
-8.295
-5.504
2.398
15.122
5.061
-22.161
14.372
-5.113
-24.952
17.298
-14.768
6.040
-7.986
-3.044
-27.565
10.508

42
43
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45
46
47
48
49
50
51
52
53
54
55
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61
62
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66
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68
69
70
71
72
73
74
75
76
77
78
79

1,289.380
1,288.074
1,286.693
1,300.215
1,314.519
1,310.414
1,327.437
1,324.847
1,312.092
1,322.837
1,341.603
1,360.889
1,406.647
1,436.116
1,419.973
1,462.745
1,419.092
1,434.074
1,461.748
1,499.733
1,500.361
1,516.641
1,490.857
1,465.750
1,540.403
1,570.261
1,593.663
1,625.087
1,634.790
1,661.845
1,628.849
1,615.232
1,592.700
1,591.336
1,576.081
1,595.915
1,644.185
1,722.766

1,263.015
1,287.579
1,286.273
1,284.892
1,298.414
1,312.718
1,308.613
1,325.636
1,323.046
1,310.291
1,321.036
1,339.802
1,359.088
1,404.846
1,434.315
1,418.172
1,460.944
1,417.291
1,432.273
1,459.947
1,497.932
1,498.560
1,514.840
1,489.056
1,463.949
1,538.602
1,568.460
1,591.862
1,623.286
1,632.989
1,660.044
1,627.048
1,613.431
1,590.899
1,589.535
1,574.280
1,594.114
1,642.384

26.365
0.495
0.420
15.323
16.105
-2.304
18.824
-0.789
-10.954
12.546
20.567
21.087
47.559
31.270
-14.342
44.573
-41.852
16.783
29.475
39.786
2.429
18.081
-23.983
-23.306
76.454
31.659
25.203
33.225
11.504
28.856
-31.195
-11.816
-20.731
0.437
-13.454
21.635
50.071
80.382

80 1,729.58 1,720.965

8.617

data riilnya
data ramalan

1,729.58
1,720.965