Time Series Analysis – ARIMA Model for Analysis Stock Prices

Time Series Analysis – ARIMA Model for Analysis of Stock Prices

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Content1. About us2. Vision & Mission3. Values4. Corporate Structure5. Business Portfolio6. The Journey

About usPT Indika Energy Tbk ("Indika Energy") merupakan perusahaan penyedia energi is Indonesia's leading integrated energy company, providing its customers with integrated energy solutions through its diversified investments in the areas of energy resources, energy services and energy infrastructure through its strategic investments in the areas of coal production (PT Kideco Jaya Agung); engineering, procurement and construction services (Tripatra); engineering, mining and construction contractor & services (PT Petrosea Tbk); and a power generation project (PT Cirebon Electric Power)

Vision & MissionVision To be a world-class integrated energy company with

diversified investments in resources, services, and infrastructure

Mission To capitalize on Indonesia's abundant natural

resources To create synergy across our integrated platforms To ensure sustainable profit and growth To achieve and maintain continuous human capital

development To add value to the life of our stakeholders

Values To ensure integrity in all of our business

endeavors To instill the spirit of unity and diversity and

respect one another To promote the culture of teamwork and

excellence To be a responsible steward for the local

communities and the environment

Business Portfolio

Integrated Energy

(IndhikaEnergy)

Energy Resources

(Kideco)

Energy Services

(Tripatra & Petrosea)

Energy Infrastructure (Cirebon

Electric Power )

The Journey

1973 - The

establishment of Tripatra

1982 - The

establishment of Kideco

1993 - Kideco

completed its second expansion

with installed capacity increased

to 7.5 MTPA

2000 - The

establishment of Indika Energy

2004 - Indika Energy

acquired 41% stake in Kideco


completed the

merger with PT Tripatra

Company and PT

Ganesha Intra

Development

Company


launched its initial public

offering / IPO

Indika Energy

acquired 98.55% stake in Petrosea

Current Share Price INDY 1.550 Open 1.550 High 1.560 Low 1.540 Volume 1.407.000

Position on 31 Oct 2012 5:00 am

Analysis of Stock Price INDY Data to be used are stock price of INDY from

October 20011 until October 2012 Forecasting the shares will be made for

estimate stock prices per December 2012 Based on this forecasting it will be decided

whether to perform the purchase of INDY’s shares

Methodology Data time series of INDY’s shares from 1

November 2011 – 31 October 2012 Analysis Statistics : Time Series Analysis – ARIMA

Model (Autoregressive Integrated Moving Average)

Tools : SPSS 18

Stock Prices of Indy’s Shares Data time series of INDY’s shares from 1

November 2011 – 31 October 2012 Data get from Indonesia Stock Exchange Data attached at spreadsheet

Time Series Analysis – ARIMA Model Three stages of ARIMA Modeling :

1. Identification stage, IDENTIFY statement to specify the response series and identify candidate ARIMA models for it

2. Estimation and diagnostic checking stage, ESTIMATE statement to specify the ARIMA model to fit to the variable specified in the previous IDENTIFY statement, and to estimate the parameters of that model

3. Forecasting stage, FORECAST statement to forecast future values of the time series and to generate confidence intervals for these forecasts from the ARIMA model produced by the preceding ESTIMATE statement

Analysis of Data via SPSS 18Identification Stage Statistics Descriptive :

Based on data, so the average of stock prices of INDY is 2075,79 and standard deviation is 376,78. From this results, there are high variation from mean – so this data tend to be not stationer

Analysis of Data via SPSS 18Identification Stage Correlogram, to check stationery of data :

Analysis of Data via SPSS 18Identification Stage Correlogram (Analysis)1. Berdasarkan grafik ACF terlihat bahwa grafik ACF

menurun secara perlahan menuju nol. Hal ini berarti bahwa data belum stasioner terhadap mean

2. Berdasarkan grafik partial ACF (PACF) terlihat bahwa setelah lag 1, grafik tidak signifikan berbeda dari nol.

Dari analisa grafik ACF dan PACF atau dengan teknik correlogram didapatkan bahwa data masih belum stasioner terhadap mean, namun sudah stasioner terhadap varians. Sehingga transformasi yang dilakukan agar data stasioner adalah dengan differencing

Analysis of Data via SPSS 18Identification Stage Differencing 1

Analysis of Data via SPSS 18Identification Stage Differencing 1

Berdasarkan data yang telah di-differencing satu kali d=1, maka terlihat bahwa plot ACF turun secara cepat menuju 0 setelah lag 1. Dan pada plot PACF terlihat bahwa pada lag 1, koefisien autokorelasi berbeda dari nol secara statistik.

Dengan taraf signifikansi α=5% didapatkan interval ± 18,08 sehingga berdasarkan output SPSS didapatkan bahwa pada lag 1, koefisien autokorelasinya melebihi batas interval, atau berbeda secara nyata dengan nol. Sehingga berdasarkan analisis correlogram maka untuk data saham INDY periode1 November 2011 – 31 October 2012 dengan differencing=1 data sudah stasioner

Analysis of Data via SPSS 18Identification Stage Sequence Chart

Analysis of Data via SPSS 18Identification Stage Sequence Chart

Berdasarkan grafik grafik sequence di atas bahwa grafik tidak menunjukkan tren atau musiman, dan bergerak di sekitar rata-rata. Maka dapat dikatakan bahwa data sudah stasioner terhadap mean dan varians

Analysis of Data via SPSS 18Model Estimation Model yang digunakan adalah ARIMA(p,d,q), di mana p

adalah ordo dari model AR, d = differencing yang dilakukan agar data stasioner, q = ordo dari MA

Berdasarkan identification stage dari plot ACF dan PACF, maka :

p = 2, berdasarkan plot ACF untuk data dengan differencing 1, ada dua koefisien yang signifikan, yaitu pada lag 6 dan lag 21

d=1, proses pembedaan yang dilakukan sehingga didapatkan stasioner adalah differencing sebanyak 1 kali. Sehingga nilai d=1.

q=2, terlihat berdasarkan plot PACF untuk data dengan differencing 1, ada dua koefisien yang signifikan, yaitu pada lag 6 dan lag 21

Analysis of Data via SPSS 18Model Estimation Grafik dan Prediksi Model ARIMA (2,1,2) maka :

Analysis of Data via SPSS 18Model Estimation Berdasarkan model ARIMA (2,1,2) maka :

1. R2=0.997 artinya bahwa 99,7% model sudah sesuai secara statistic dengan data sesungguhnya.

2. Berdasarkan nilai p-value=sig = 0.834 α=1% dan 5% maka Ho diterima, artinya bahwa model sudah sesuai dan bisa digunakan untuk forecasting untuk saham INDY

Analysis of Data via SPSS 18Forecasting Berdasarkan model ARIMA (2,1,2) maka prediksi

transaksi bulan November 2012 dan Desember 2012 adalah :

Analysis of Data via SPSS 18Decision Making Berdasarkan model ARIMA (2,1,2) maka prediksi

transaksi bulan November 2012 dan Desember 2012 sebagai berikut :

1. Terjadi penurunan saham INDY untuk kedua bulan tersebut, dengan kisaran saham antara 1310,2 sampai dengan 1543,9

2. Berdasarkan data forecasting tersebut maka disarankan untuk tidak membeli saham INDY, karena kecenderungan penurunan saham tersebut pada periode bulan November – Desember 2012

Thank You

Time Series Analysis – ARIMA Model for Analysis Stock Prices

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