Open AccessAnalisis Pengaruh Kurs USD terhadap Jakarta Islamic Index dengan Menggunakan Model Fungsi Transfer
Author(s) -
Pika Silvianti,
Nur Laela Fitriani
Publication year - 2018
Publication title -
xplore
Language(s) - English
Resource type - Journals
eISSN - 2655-2744
pISSN - 2302-5751
DOI - 10.29244/xplore.v2i2.160
Subject(s) - autoregressive integrated moving average , index (typography) , exchange rate , econometrics , variable (mathematics) , single index model , mathematics , statistics , regression analysis , transfer (computing) , time series , computer science , economics , mathematical analysis , parallel computing , world wide web , macroeconomics
The transfer function model is a time series forecasting model that combines several characteristics ofthe ARIMA model one variable with several characteristics of regression analysis. This model is used to determine the effect of an explanatory variable (input series) on the response variable (output series). This study uses a transfer function model to analyze the effect of the exchange rate on Jakarta Islamic Index. The transfer function model is structured through several stages, starting from modelidentification, estimation of the transfer function model, and model diagnostic testing. Based on the transfer function model, Jakarta Islamic Index was influenced by Jakarta Islamic Index in one and two days earlier and the exchange rate in the same period and one to two days earlier. The forecasting MAPE value of 0.6529% shows that the transfer function model obtained is good enough in forecasting.