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MODELING THE IDX30 STOCK INDEX USING STEP FUNCTION INTERVENTION ANALYSIS

BAREKENG: Jurnal Ilmu Matematika dan Terapan · Vol. 19 No. 3 (2025) · hlm. 2057–2068

DOI
10.30598/barekengvol19iss3pp2057-2068
ISSN
2615-3017, 1978-7227
Terbit
2025-07-01
Penerbit
PATTIMURA UNIVERSITY
Bahasa
eng
Lisensi
creativecommons.org/licenses/by-sa/4.0

Abstrak

The significant decline in the IDX30 stock index occurred due to an intervention, namely the COVID-19 pandemic, which affected market stability and investment decisions. This study aims to model and forecast the IDX30 stock index using intervention analysis with a step function, which is very suitable for capturing long-term external shocks. The methodology used includes the ARIMA (AutoRegressive Integrated Moving Average) model combined with step function intervention analysis to account for structural changes due to external disturbances. The data used is sourced from investing.com, consisting of weekly IDX30 stock index prices from January 2019 to December 2023. The results show that the COVID-19 pandemic significantly impacted the IDX30 index, causing a drastic decline. The best model identified is ARIMA (1,2,1) with intervention parameters b = 0, s = 0, and r = 1. The forecasting results range from Rp. 488 to Rp. 505, with a Mean Absolute Percentage Error (MAPE) of 1.9404%, which shows the forecasting results are very good, indicating high forecasting accuracy. These findings highlight the effectiveness of intervention analysis in modeling financial time series data affected by external disturbances.

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28 penulis · 71 tautan kepenulisan bersama · 9 lintas organisasi

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  • Tadulako University
  • Institut Teknologi Sepuluh Nopember
  • North Sumatra Islamic University
  • Afiliasi tidak diketahui
  • Organisasi berbeda
  • Organisasi sama
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Rekan penulisOrganisasiArtikel bersama
Nurul Fiskia GamayantiTadulako University2
Junaidi JunaidiNorth Sumatra Islamic University2
Mohammad BataraTadulako University2
Syaiful HendraTadulako University2
Nurmasita IsmailAfiliasi tidak diketahui2
Virga DamayantiTadulako University2
Ary Mazharuddin ShiddiqiInstitut Teknologi Sepuluh Nopember1
Baskoro Adi PratomoInstitut Teknologi Sepuluh Nopember1
Prasetyo Adi WibowoInstitut Teknologi Sepuluh Nopember1
Dini YuniasriInstitut Teknologi Sepuluh Nopember1
Putri DamayantiInstitut Teknologi Sepuluh Nopember1
Yayang MatiraAfiliasi tidak diketahui1
JunaidiAfiliasi tidak diketahui1
Ghina Rizqa RaihanahTadulako University1
Junaidi JunaidiTadulako University1
Junaidi JunaidiTadulako University1
Nur'eni Nur'eniTadulako University1
Zainal Mu'arifTadulako University1
Firda AuliaTadulako University1
Melsy Patricia Anggelina ETadulako University1
Rais RaisTadulako University1
Eliani ElianiTadulako University1

Afiliasi berasal dari OpenAlex; metadata OAI-PMH jurnal tidak memuatnya. Penulis tanpa ID OpenAlex dicocokkan berdasarkan nama, sehingga dua orang bisa tergabung atau satu orang bisa terpisah.

Sumber metadata: OAI-PMH (metadata jurnal) https://ojs3.unpatti.ac.id/index.php/barekeng/oai, pertama di-harvest 5 Nov 2026, terakhir terlihat 8 Nov 2026.
Metadata asli (oai_dc) 
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	<dc:title xml:lang="en-US">MODELING THE IDX30 STOCK INDEX USING STEP FUNCTION INTERVENTION ANALYSIS</dc:title>
	<dc:creator>Rais, Rais</dc:creator>
	<dc:creator>Afriza, Dini Aprilia</dc:creator>
	<dc:creator>Setiawan, Iman</dc:creator>
	<dc:creator>Sain, Hartayuni</dc:creator>
	<dc:creator>Fadjryani, Fadjryani</dc:creator>
	<dc:creator>Junaidi, Junaidi</dc:creator>
	<dc:description xml:lang="en-US">The significant decline in the IDX30 stock index occurred due to an intervention, namely the COVID-19 pandemic, which affected market stability and investment decisions. This study aims to model and forecast the IDX30 stock index using intervention analysis with a step function, which is very suitable for capturing long-term external shocks. The methodology used includes the ARIMA (AutoRegressive Integrated Moving Average) model combined with step function intervention analysis to account for structural changes due to external disturbances. The data used is sourced from investing.com, consisting of weekly IDX30 stock index prices from January 2019 to December 2023. The results show that the COVID-19 pandemic significantly impacted the IDX30 index, causing a drastic decline. The best model identified is ARIMA (1,2,1) with intervention parameters b = 0, s = 0, and r = 1. The forecasting results range from Rp. 488 to Rp. 505, with a Mean Absolute Percentage Error (MAPE) of 1.9404%, which shows the forecasting results are very good, indicating high forecasting accuracy. These findings highlight the effectiveness of intervention analysis in modeling financial time series data affected by external disturbances.</dc:description>
	<dc:publisher xml:lang="en-US">PATTIMURA UNIVERSITY</dc:publisher>
	<dc:date>2025-07-01</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/17251</dc:identifier>
	<dc:identifier>10.30598/barekengvol19iss3pp2057-2068</dc:identifier>
	<dc:source xml:lang="en-US">BAREKENG: Jurnal Ilmu Matematika dan Terapan; Vol 19 No 3 (2025): BAREKENG: Journal of Mathematics and Its Application; 2057-2068</dc:source>
	<dc:source>2615-3017</dc:source>
	<dc:source>1978-7227</dc:source>
	<dc:source>10.30598/barekengvol19iss3year2025</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/17251/10810</dc:relation>
	<dc:rights xml:lang="en-US">Copyright (c) 2025 Rais Rais, Dini Aprilia Afriza, Iman Setiawan, Hartayuni Sain, Fadjryani Fadjryani, Junaidi Junaidi</dc:rights>
	<dc:rights xml:lang="en-US">http://creativecommons.org/licenses/by-sa/4.0</dc:rights>
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