Analisis Data Time Series Menggunakan Model Kernel: Pemodelan Data Harga Saham MDKA

Abstract

Classic time series data analysis techniques, such as autoregressive, model stationary data in which the values of prior observations influence the current observations through a process known as linear regression. There are several requirements for error assumptions in autoregressive, including independence, normal distribution with a zero mean and constant variance. It is frequently discovered that these assumptions are challenging to verify when modelling real data. Kernel time series regression is an alternative model that does not require error assumptions. Non-stationary time series data can be effectively modelled using the kernel time series method. Time series data that isn't yet stationary is made stationary first, then the data is modified by forming the current stationary time series data as the response variable and the previous period data as the predictor variable. Next, regression kernel modelling is carried out while applying kernel weight function and determining the optimal bandwidth. For development of science, the optimal bandwidth can be achieved by minimizing the MSE, CV, GCV, or UBR values. It is possible to use R² or MAPE as the kernel time series regression model's goodness metric. A strong model is generated while modelling MDKA stock price data using kernel regression utilizing the Gaussian kernel function and optimal bandwidth selection using GCV since R² is 0.9828372 more than 0.67 and MAPE is 1.985681% under 10%.

Keywords: 3 time series; kernel regression; GCV; MDKA stock price.