Penerapan Vector Error Correction Model Pada Bursa Efek Indonesia Untuk Optimasi Indeks Harga Saham Gabungan Tahun 2010-2022

Abstract

ICI is an indicator of economic stability. It always fluctuates from time to time caused by several factors including inflation, exchange rates, and the money supply (M1) in Indonesia. Forecasting ICI can be done by various methods, one of which is the VECM method. VECM is a balance of long-term time series data which is often called cointegration. This cointegration shows or to determine the long-term and short-term equilibrium relationship between variables (series analysis with multiple variables). Forecasting results for the ICI price next month with an increase in price of Rp108,255. In the long run, Inflation and Exchange Rates The money supply significantly affected the growth of the ICI.