PENGGUNAAN SUPPORT VECTOR REGRESSION DALAM PEMODELAN INDEKS SAHAM SYARIAH INDONESIA DENGAN ALGORITME GRID SEARCH

  • Galih Hedy Saputra Department of Statistics, IPB University, Indonesia
  • Aji Hamim Wigena Department of Statistics, IPB University, Indonesia
  • Bagus Sartono Department of Statistics, IPB University, Indonesia
Keywords: grid search, ISSI, sharia, stock, SVR

Abstract

Indonesia as the largest Muslim population country in the world is a very potential market for sharia stocks. Sharia stocks performance can be seen from the Indonesia Sharia Stock Index (ISSI). Stock index modeling is conducted to determine the factors that affect the stock index or to predict the value of the stock index. Modeling using regression analysis is based on assumptions that do not always match with the characteristics of stock data that fluctuate. Support Vector Regression (SVR) method is a non-parametric approach based on machine learning. The problem often encountered in the analysis using SVR is to determine the optimal parameters to produce the best model. The determination of the optimal parameters can be solved by using the grid search algorithm. The purpose of this research is to make ISSI model using SVR with grid search algorithm with independent variable BI Rate, money supply, and exchange rate (USD / IDR). The best SVR model was obtained using weekly data with a total of 343 periods as well as a linear kernel with parameters ε = 0.03 and C = 2. The evaluation of the best model SVR is RMSE of 2.289 and correlation value of 0.873.

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Published
2019-06-30
Section
Articles