{"id":1934,"date":"2025-09-24T15:59:43","date_gmt":"2025-09-24T08:59:43","guid":{"rendered":"https:\/\/www.its.ac.id\/publikasi\/?p=1934"},"modified":"2025-09-24T15:59:43","modified_gmt":"2025-09-24T08:59:43","slug":"prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau","status":"publish","type":"post","link":"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/","title":{"rendered":"Prediksi Return Saham Perbankan dengan Metode LSTM dan Estimasi Value at Risk dengan Copula Ali-Mikhail-Haq Menggunakan Korelasi Kendall&#8217;s Tau"},"content":{"rendered":"<div id=\"authorString\"><em>Diva Ryan Mahendra, Ulil Azmi<\/em><\/div>\n<div id=\"articleSubmitted\">Submission Date:\u00a0<em>2024-07-29 09:29:19<\/em><\/div>\n<div id=\"articleLastModified\">Accepted Date:\u00a0<em>2025-05-05 00:00:00<\/em><\/div>\n<div id=\"articleSubmitted\">DOI:\u00a0<a href=\"http:\/\/dx.doi.org\/10.12962\/j23373520.v14i2.148669\" target=\"_blank\" rel=\"noopener\">10.12962\/j23373520.v14i2.148669<\/a><\/div>\n<div id=\"articleAbstract\">\n<h4>##article.abstract##<\/h4>\n<div>Prediksi return saham dan estimasi Value at Risk (VaR) adalah hal yang penting dalam pengelolaan portofolio investasi. Metode LSTM telah menunjukkan potensi untuk prediksi harga saham yang akurat, sementara Copula Ali-Mikhail-Haq dengan korelasi Kendall&#8217;s Tau digunakan untuk mengatasi distribusi non-normal dalam estimasi VaR. Penelitian ini bertujuan untuk menerapkan metode LSTM dalam prediksi return saham periode 2021-2023 dan estimasi VaR menggunakan Copula Ali-Mikhail-Haq dengan korelasi Kendall&#8217;s Tau pada saham perbankan. Berdasarkan hasil penelitian, metode LSTM menunjukkan model terbaik untuk saham BMRI dengan konfigurasi 100 epoch, 64 unit, dan dropout sebesar 0,1 serta menghasilkan MAE sebesar 0,0174. Sedangkan untuk saham BBRI, model terbaik memiliki konfigurasi yang sama tetapi dengan dropout sebesar 0,2 menghasilkan MAE sebesar 0,0222. Secara keseluruhan, model LSTM menunjukkan kemampuan yang baik dalam memprediksi harga dan return saham. Dalam estimasi VaR, diperoleh koefisien Kendall&#8217;s Tau sebesar 0,0676 dan estimasi parameter Copula Ali-Mikhail-Haq sebesar 0,281. Estimasi VaR portofolio saham pada tingkat kepercayaan 99%, 95%, dan 90% berturut-turut adalah -0,03001060; -0,01875786; dan -0,01350327.. Hasil analisis ini memberikan pemahaman yang lebih baik tentang prediksi return saham menggunakan LSTM dan estimasi VaR menggunakan Copula Ali-Mikhail-Haq.<\/div>\n<\/div>\n<div id=\"articleSubject\">\n<h4>##article.subject##<\/h4>\n<div>Asuransi Umum; Bootstrapping; Cadangan IBNR; Mack Chain Ladder<\/div>\n<\/div>\n<p>Full Text:\u00a0<a class=\"file\" href=\"https:\/\/ejurnal.its.ac.id\/index.php\/sains_seni\/article\/view\/148669\" target=\"_parent\">PDF<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Diva Ryan Mahendra, Ulil Azmi Submission Date:\u00a02024-07-29 09:29:19 Accepted Date:\u00a02025-05-05 00:00:00 DOI:\u00a010.12962\/j23373520.v14i2.148669 ##article.abstract## Prediksi return saham dan estimasi Value at Risk (VaR) adalah hal yang penting dalam pengelolaan portofolio investasi. Metode LSTM telah menunjukkan potensi untuk prediksi harga saham yang akurat, sementara Copula Ali-Mikhail-Haq dengan korelasi Kendall&#8217;s Tau digunakan untuk mengatasi distribusi non-normal dalam estimasi [&hellip;]<\/p>\n","protected":false},"author":250,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_joinchat":[],"footnotes":""},"categories":[141],"tags":[],"class_list":["post-1934","post","type-post","status-publish","format-standard","hentry","category-sains-seni-its-jurnal"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.1.1 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Prediksi Return Saham Perbankan dengan Metode LSTM dan Estimasi Value at Risk dengan Copula Ali-Mikhail-Haq Menggunakan Korelasi Kendall&#039;s Tau - IJC ( ITS Journal Center )<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Prediksi Return Saham Perbankan dengan Metode LSTM dan Estimasi Value at Risk dengan Copula Ali-Mikhail-Haq Menggunakan Korelasi Kendall&#039;s Tau - IJC ( ITS Journal Center )\" \/>\n<meta property=\"og:description\" content=\"Diva Ryan Mahendra, Ulil Azmi Submission Date:\u00a02024-07-29 09:29:19 Accepted Date:\u00a02025-05-05 00:00:00 DOI:\u00a010.12962\/j23373520.v14i2.148669 ##article.abstract## Prediksi return saham dan estimasi Value at Risk (VaR) adalah hal yang penting dalam pengelolaan portofolio investasi. Metode LSTM telah menunjukkan potensi untuk prediksi harga saham yang akurat, sementara Copula Ali-Mikhail-Haq dengan korelasi Kendall&#8217;s Tau digunakan untuk mengatasi distribusi non-normal dalam estimasi [&hellip;]\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/\" \/>\n<meta property=\"og:site_name\" content=\"IJC ( ITS Journal Center )\" \/>\n<meta property=\"article:published_time\" content=\"2025-09-24T08:59:43+00:00\" \/>\n<meta name=\"author\" content=\"itspublikasi\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Written by\" \/>\n\t<meta name=\"twitter:data1\" content=\"itspublikasi\" \/>\n\t<meta name=\"twitter:label2\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data2\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"Article\",\"@id\":\"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/#article\",\"isPartOf\":{\"@id\":\"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/\"},\"author\":{\"name\":\"itspublikasi\",\"@id\":\"https:\/\/www.its.ac.id\/publikasi\/#\/schema\/person\/1241b8776d05c54fbc628c0a83d59e3c\"},\"headline\":\"Prediksi Return Saham Perbankan dengan Metode LSTM dan Estimasi Value at Risk dengan Copula Ali-Mikhail-Haq Menggunakan Korelasi Kendall&#8217;s Tau\",\"datePublished\":\"2025-09-24T08:59:43+00:00\",\"mainEntityOfPage\":{\"@id\":\"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/\"},\"wordCount\":221,\"commentCount\":0,\"articleSection\":[\"sains seni its jurnal\"],\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"CommentAction\",\"name\":\"Comment\",\"target\":[\"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/#respond\"]}]},{\"@type\":\"WebPage\",\"@id\":\"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/\",\"url\":\"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/\",\"name\":\"Prediksi Return Saham Perbankan dengan Metode LSTM dan Estimasi Value at Risk dengan Copula Ali-Mikhail-Haq Menggunakan Korelasi Kendall's Tau - IJC ( ITS Journal Center )\",\"isPartOf\":{\"@id\":\"https:\/\/www.its.ac.id\/publikasi\/#website\"},\"datePublished\":\"2025-09-24T08:59:43+00:00\",\"author\":{\"@id\":\"https:\/\/www.its.ac.id\/publikasi\/#\/schema\/person\/1241b8776d05c54fbc628c0a83d59e3c\"},\"breadcrumb\":{\"@id\":\"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/#breadcrumb\"},\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/\"]}]},{\"@type\":\"BreadcrumbList\",\"@id\":\"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Home\",\"item\":\"https:\/\/www.its.ac.id\/publikasi\/\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"Prediksi Return Saham Perbankan dengan Metode LSTM dan Estimasi Value at Risk dengan Copula Ali-Mikhail-Haq Menggunakan Korelasi Kendall&#8217;s Tau\"}]},{\"@type\":\"WebSite\",\"@id\":\"https:\/\/www.its.ac.id\/publikasi\/#website\",\"url\":\"https:\/\/www.its.ac.id\/publikasi\/\",\"name\":\"IJC ( ITS Journal Center )\",\"description\":\"Institut Teknologi Sepuluh Nopember\",\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\/\/www.its.ac.id\/publikasi\/?s={search_term_string}\"},\"query-input\":{\"@type\":\"PropertyValueSpecification\",\"valueRequired\":true,\"valueName\":\"search_term_string\"}}],\"inLanguage\":\"en-US\"},{\"@type\":\"Person\",\"@id\":\"https:\/\/www.its.ac.id\/publikasi\/#\/schema\/person\/1241b8776d05c54fbc628c0a83d59e3c\",\"name\":\"itspublikasi\",\"image\":{\"@type\":\"ImageObject\",\"inLanguage\":\"en-US\",\"@id\":\"https:\/\/www.its.ac.id\/publikasi\/#\/schema\/person\/image\/\",\"url\":\"https:\/\/secure.gravatar.com\/avatar\/1c672fdec2c22686bbf54db48608a7cbb61f01783efa5776676dd183144eeffd?s=96&d=mm&r=g\",\"contentUrl\":\"https:\/\/secure.gravatar.com\/avatar\/1c672fdec2c22686bbf54db48608a7cbb61f01783efa5776676dd183144eeffd?s=96&d=mm&r=g\",\"caption\":\"itspublikasi\"},\"url\":\"https:\/\/www.its.ac.id\/publikasi\/author\/itspublikasi\/\"}]}<\/script>\n<!-- \/ Yoast SEO plugin. -->","yoast_head_json":{"title":"Prediksi Return Saham Perbankan dengan Metode LSTM dan Estimasi Value at Risk dengan Copula Ali-Mikhail-Haq Menggunakan Korelasi Kendall's Tau - IJC ( ITS Journal Center )","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/","og_locale":"en_US","og_type":"article","og_title":"Prediksi Return Saham Perbankan dengan Metode LSTM dan Estimasi Value at Risk dengan Copula Ali-Mikhail-Haq Menggunakan Korelasi Kendall's Tau - IJC ( ITS Journal Center )","og_description":"Diva Ryan Mahendra, Ulil Azmi Submission Date:\u00a02024-07-29 09:29:19 Accepted Date:\u00a02025-05-05 00:00:00 DOI:\u00a010.12962\/j23373520.v14i2.148669 ##article.abstract## Prediksi return saham dan estimasi Value at Risk (VaR) adalah hal yang penting dalam pengelolaan portofolio investasi. Metode LSTM telah menunjukkan potensi untuk prediksi harga saham yang akurat, sementara Copula Ali-Mikhail-Haq dengan korelasi Kendall&#8217;s Tau digunakan untuk mengatasi distribusi non-normal dalam estimasi [&hellip;]","og_url":"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/","og_site_name":"IJC ( ITS Journal Center )","article_published_time":"2025-09-24T08:59:43+00:00","author":"itspublikasi","twitter_card":"summary_large_image","twitter_misc":{"Written by":"itspublikasi","Est. reading time":"1 minute"},"schema":{"@context":"https:\/\/schema.org","@graph":[{"@type":"Article","@id":"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/#article","isPartOf":{"@id":"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/"},"author":{"name":"itspublikasi","@id":"https:\/\/www.its.ac.id\/publikasi\/#\/schema\/person\/1241b8776d05c54fbc628c0a83d59e3c"},"headline":"Prediksi Return Saham Perbankan dengan Metode LSTM dan Estimasi Value at Risk dengan Copula Ali-Mikhail-Haq Menggunakan Korelasi Kendall&#8217;s Tau","datePublished":"2025-09-24T08:59:43+00:00","mainEntityOfPage":{"@id":"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/"},"wordCount":221,"commentCount":0,"articleSection":["sains seni its jurnal"],"inLanguage":"en-US","potentialAction":[{"@type":"CommentAction","name":"Comment","target":["https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/#respond"]}]},{"@type":"WebPage","@id":"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/","url":"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/","name":"Prediksi Return Saham Perbankan dengan Metode LSTM dan Estimasi Value at Risk dengan Copula Ali-Mikhail-Haq Menggunakan Korelasi Kendall's Tau - IJC ( ITS Journal Center )","isPartOf":{"@id":"https:\/\/www.its.ac.id\/publikasi\/#website"},"datePublished":"2025-09-24T08:59:43+00:00","author":{"@id":"https:\/\/www.its.ac.id\/publikasi\/#\/schema\/person\/1241b8776d05c54fbc628c0a83d59e3c"},"breadcrumb":{"@id":"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/#breadcrumb"},"inLanguage":"en-US","potentialAction":[{"@type":"ReadAction","target":["https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/"]}]},{"@type":"BreadcrumbList","@id":"https:\/\/www.its.ac.id\/publikasi\/2025\/09\/24\/prediksi-return-saham-perbankan-dengan-metode-lstm-dan-estimasi-value-at-risk-dengan-copula-ali-mikhail-haq-menggunakan-korelasi-kendalls-tau\/#breadcrumb","itemListElement":[{"@type":"ListItem","position":1,"name":"Home","item":"https:\/\/www.its.ac.id\/publikasi\/"},{"@type":"ListItem","position":2,"name":"Prediksi Return Saham Perbankan dengan Metode LSTM dan Estimasi Value at Risk dengan Copula Ali-Mikhail-Haq Menggunakan Korelasi Kendall&#8217;s Tau"}]},{"@type":"WebSite","@id":"https:\/\/www.its.ac.id\/publikasi\/#website","url":"https:\/\/www.its.ac.id\/publikasi\/","name":"IJC ( ITS Journal Center )","description":"Institut Teknologi Sepuluh Nopember","potentialAction":[{"@type":"SearchAction","target":{"@type":"EntryPoint","urlTemplate":"https:\/\/www.its.ac.id\/publikasi\/?s={search_term_string}"},"query-input":{"@type":"PropertyValueSpecification","valueRequired":true,"valueName":"search_term_string"}}],"inLanguage":"en-US"},{"@type":"Person","@id":"https:\/\/www.its.ac.id\/publikasi\/#\/schema\/person\/1241b8776d05c54fbc628c0a83d59e3c","name":"itspublikasi","image":{"@type":"ImageObject","inLanguage":"en-US","@id":"https:\/\/www.its.ac.id\/publikasi\/#\/schema\/person\/image\/","url":"https:\/\/secure.gravatar.com\/avatar\/1c672fdec2c22686bbf54db48608a7cbb61f01783efa5776676dd183144eeffd?s=96&d=mm&r=g","contentUrl":"https:\/\/secure.gravatar.com\/avatar\/1c672fdec2c22686bbf54db48608a7cbb61f01783efa5776676dd183144eeffd?s=96&d=mm&r=g","caption":"itspublikasi"},"url":"https:\/\/www.its.ac.id\/publikasi\/author\/itspublikasi\/"}]}},"_links":{"self":[{"href":"https:\/\/www.its.ac.id\/publikasi\/wp-json\/wp\/v2\/posts\/1934","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.its.ac.id\/publikasi\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.its.ac.id\/publikasi\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.its.ac.id\/publikasi\/wp-json\/wp\/v2\/users\/250"}],"replies":[{"embeddable":true,"href":"https:\/\/www.its.ac.id\/publikasi\/wp-json\/wp\/v2\/comments?post=1934"}],"version-history":[{"count":1,"href":"https:\/\/www.its.ac.id\/publikasi\/wp-json\/wp\/v2\/posts\/1934\/revisions"}],"predecessor-version":[{"id":1935,"href":"https:\/\/www.its.ac.id\/publikasi\/wp-json\/wp\/v2\/posts\/1934\/revisions\/1935"}],"wp:attachment":[{"href":"https:\/\/www.its.ac.id\/publikasi\/wp-json\/wp\/v2\/media?parent=1934"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.its.ac.id\/publikasi\/wp-json\/wp\/v2\/categories?post=1934"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.its.ac.id\/publikasi\/wp-json\/wp\/v2\/tags?post=1934"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}