1
Lampiran 1
Tabel 1. data harga saham penutupan harian dari PT. HM. Sampoerna Tbk. tanggal 1 Maret 2010 sampai 29 Februari 2012
Date Close
3/1/2010 13200 5/6/2010 13550 7/13/2010 18800
3/2/2010 13200 5/7/2010 14400 7/14/2010 19000
3/3/2010 13200 5/10/2010 14500 7/15/2010 18700
3/4/2010 13200 5/11/2010 14300 7/16/2010 18900
3/5/2010 13200 5/12/2010 14550 7/19/2010 18850
3/8/2010 13200 5/14/2010 14350 7/20/2010 19100
3/9/2010 13250 5/17/2010 14400 7/21/2010 19150
3/10/2010 13900 5/18/2010 14550 7/22/2010 18950
3/11/2010 13500 5/19/2010 14150 7/23/2010 19000
3/12/2010 13500 5/20/2010 14250 7/26/2010 19000
3/15/2010 13500 5/21/2010 14200 7/27/2010 18950
3/17/2010 13700 5/24/2010 14250 7/28/2010 18950
3/18/2010 13600 5/25/2010 13800 7/29/2010 19000
3/19/2010 13650 5/26/2010 14900 7/30/2010 19100
3/22/2010 13550 5/27/2010 14550 8/2/2010 18900
3/23/2010 13400 5/31/2010 14650 8/3/2010 18850
3/24/2010 13400 6/1/2010 14500 8/4/2010 19000
3/25/2010 13400 6/2/2010 14400 8/5/2010 19000
3/26/2010 13900 6/3/2010 14600 8/6/2010 18850
3/29/2010 14000 6/4/2010 14700 8/9/2010 18850
3/30/2010 14050 6/7/2010 14700 8/10/2010 18700
3/31/2010 13950 6/8/2010 14950 8/11/2010 18600
4/1/2010 13900 6/9/2010 15000 8/12/2010 18900
4/5/2010 13800 6/10/2010 15200 8/13/2010 19000
4/6/2010 13800 6/11/2010 15500 8/16/2010 18800
4/7/2010 13850 6/14/2010 15050 8/18/2010 18800
4/8/2010 13850 6/15/2010 15350 8/19/2010 18900
4/9/2010 13800 6/16/2010 15100 8/20/2010 19000
4/12/2010 13800 6/17/2010 15150 8/23/2010 20100
4/13/2010 13800 6/18/2010 16200 8/24/2010 19550
4/14/2010 13800 6/21/2010 17950 8/25/2010 19750
4/15/2010 13950 6/22/2010 19100 8/26/2010 19950
4/16/2010 13750 6/23/2010 19000 8/27/2010 19900
4/19/2010 13700 6/24/2010 18750 8/30/2010 19850
4/20/2010 13700 6/25/2010 18900 8/31/2010 19800
2
4/22/2010 13700 6/29/2010 18500 9/2/2010 20450
4/23/2010 13700 6/30/2010 18650 9/3/2010 21250
4/26/2010 13850 7/1/2010 18400 9/6/2010 21800
4/27/2010 13850 7/2/2010 18400 9/7/2010 21550
4/28/2010 13750 7/5/2010 18500 9/15/2010 20900
4/29/2010 13850 7/6/2010 19100 9/16/2010 20850
4/30/2010 14000 7/7/2010 18800 9/17/2010 20550
5/3/2010 13950 7/8/2010 18950 9/20/2010 20350
5/4/2010 14100 7/9/2010 19350 9/21/2010 20300
5/5/2010 13000 7/12/2010 18800 9/22/2010 20250
9/23/2010 20250 11/30/2010 27500 2/9/2011 25500
9/24/2010 20900 12/1/2010 27500 2/10/2011 25350
9/27/2010 21750 12/2/2010 27750 2/11/2011 25250
9/28/2010 21950 12/3/2010 27800 2/14/2011 25700
9/29/2010 21850 12/6/2010 28000 2/16/2011 25300
9/30/2010 22000 12/8/2010 27950 2/17/2011 25250
10/1/2010 21750 12/9/2010 28450 2/18/2011 25450
10/4/2010 21700 12/10/2010 29050 2/21/2011 25800
10/5/2010 21700 12/13/2010 29100 2/22/2011 25700
10/6/2010 21500 12/14/2010 28850 2/23/2011 25750
10/7/2010 21500 12/15/2010 28550 2/24/2011 25400
10/8/2010 21350 12/16/2010 29050 2/25/2011 25750
10/11/2010 21800 12/17/2010 29000 2/28/2011 25700
10/12/2010 21550 12/20/2010 28500 3/1/2011 25400
10/13/2010 21650 12/21/2010 28500 3/2/2011 25400
10/14/2010 21450 12/22/2010 28300 3/3/2011 25350
10/15/2010 21350 12/23/2010 28200 3/4/2011 25400
10/18/2010 21450 12/27/2010 28400 3/7/2011 25450
10/19/2010 21300 12/28/2010 28600 3/8/2011 25400
10/20/2010 21350 12/29/2010 28900 3/9/2011 25400
10/21/2010 21400 12/30/2010 28150 3/10/2011 25350
10/22/2010 21300 1/3/2011 28000 3/11/2011 25100
10/25/2010 21350 1/4/2011 27800 3/14/2011 25350
10/26/2010 21250 1/5/2011 27700 3/15/2011 25350
10/27/2010 21200 1/6/2011 27600 3/16/2011 25500
10/28/2010 21400 1/7/2011 27500 3/17/2011 25400
10/29/2010 21450 1/10/2011 26850 3/18/2011 25950
11/1/2010 21300 1/11/2011 26700 3/21/2011 25950
11/2/2010 24150 1/12/2011 26900 3/22/2011 25950
11/3/2010 28400 1/13/2011 26700 3/23/2011 26500
3
11/5/2010 26150 1/17/2011 26500 3/25/2011 26400
11/8/2010 26150 1/18/2011 26500 3/28/2011 26100
11/9/2010 27000 1/19/2011 26200 3/29/2011 25900
11/10/2010 26900 1/20/2011 26000 3/30/2011 26100
11/11/2010 27800 1/21/2011 26000 3/31/2011 26200
11/12/2010 28000 1/24/2011 25900 4/1/2011 26500
11/15/2010 27950 1/25/2011 25900 4/4/2011 30750
11/16/2010 27650 1/26/2011 25400 4/5/2011 28550
11/18/2010 27600 1/27/2011 25450 4/6/2011 28600
11/19/2010 27800 1/28/2011 25600 4/7/2011 28300
11/22/2010 28150 1/31/2011 25500 4/8/2011 28250
11/23/2010 28000 2/1/2011 25350 4/11/2011 28350
11/24/2010 27550 2/2/2011 25650 4/12/2011 28400
11/25/2010 28050 2/4/2011 25600 4/13/2011 28150
11/26/2010 28000 2/7/2011 25550 4/14/2011 28350
11/29/2010 27600 2/8/2011 25500 4/15/2011 28350
4/18/2011 28000 6/27/2011 28000 9/9/2011 32850
4/19/2011 28000 6/28/2011 28300 9/12/2011 32250
4/20/2011 28000 6/30/2011 28600 9/13/2011 32250
4/21/2011 28000 7/1/2011 29000 9/14/2011 32000
4/25/2011 28000 7/4/2011 28700 9/15/2011 31700
4/26/2011 28000 7/5/2011 28800 9/16/2011 31900
4/27/2011 28000 7/6/2011 28700 9/19/2011 31700
4/28/2011 28000 7/7/2011 28750 9/20/2011 31500
4/29/2011 28000 7/8/2011 29100 9/21/2011 31700
5/2/2011 28000 7/11/2011 29200 9/22/2011 28500
5/3/2011 27950 7/12/2011 29000 9/23/2011 29750
5/4/2011 27900 7/13/2011 29300 9/26/2011 28950
5/5/2011 27800 7/14/2011 29400 9/27/2011 30100
5/6/2011 27800 7/15/2011 30150 9/28/2011 29900
5/9/2011 27750 7/18/2011 30000 9/29/2011 30000
5/10/2011 27850 7/19/2011 30050 9/30/2011 30100
5/11/2011 27900 7/20/2011 30100 10/3/2011 29550
5/12/2011 27900 7/21/2011 30300 10/4/2011 29200
5/13/2011 28000 7/22/2011 31000 10/5/2011 29400
5/16/2011 27950 7/25/2011 31000 10/6/2011 30000
5/18/2011 28000 7/26/2011 30900 10/7/2011 30100
5/19/2011 28700 7/27/2011 31200 10/10/2011 29550
5/20/2011 28800 7/28/2011 31250 10/11/2011 30650
5/23/2011 28500 7/29/2011 32000 10/12/2011 30700
4
5/25/2011 28600 8/2/2011 32100 10/14/2011 30750
5/26/2011 28800 8/3/2011 31950 10/17/2011 31000
5/27/2011 29000 8/4/2011 32550 10/18/2011 30900
5/30/2011 28900 8/5/2011 31500 10/19/2011 31150
5/31/2011 28950 8/8/2011 31100 10/20/2011 31000
6/1/2011 29150 8/9/2011 30950 10/21/2011 31300
6/3/2011 29000 8/10/2011 31500 10/24/2011 31500
6/6/2011 29000 8/11/2011 31500 10/25/2011 31500
6/7/2011 29100 8/12/2011 31300 10/26/2011 31500
6/8/2011 29400 8/15/2011 31400 10/27/2011 31950
6/9/2011 29100 8/16/2011 31400 10/28/2011 31800
6/10/2011 29200 8/18/2011 31400 10/31/2011 31650
6/13/2011 28250 8/19/2011 31100 11/1/2011 31550
6/14/2011 28250 8/22/2011 31100 11/2/2011 31900
6/15/2011 28100 8/23/2011 30900 11/3/2011 31850
6/16/2011 28050 8/24/2011 30950 11/4/2011 32250
6/17/2011 27950 8/25/2011 30950 11/7/2011 32300
6/20/2011 28000 8/26/2011 31000 11/8/2011 32200
6/21/2011 28000 9/5/2011 31500 11/9/2011 32550
6/22/2011 28050 9/6/2011 31600 11/10/2011 32200
6/23/2011 28150 9/7/2011 32000 11/11/2011 32200
6/24/2011 28200 9/8/2011 32800 11/14/2011 32750
11/15/2011 34050 1/20/2012 42100 3/29/2012 52900
11/16/2011 33700 1/24/2012 42500 3/30/2012 53200
11/17/2011 34900 1/25/2012 42500 4/2/2012 53500
11/18/2011 35700 1/26/2012 43000 4/3/2012 54050
11/21/2011 37000 1/27/2012 42950 4/4/2012 54200
11/22/2011 38400 1/30/2012 42400 4/5/2012 54300
11/23/2011 37500 1/31/2012 42500 4/9/2012 54200
11/24/2011 37100 2/1/2012 42800 4/10/2012 54300
11/25/2011 37450 2/2/2012 44000 4/11/2012 53900
11/28/2011 37500 2/3/2012 45000 4/12/2012 54000
11/29/2011 39100 2/6/2012 46500 4/13/2012 54150
11/30/2011 39000 2/7/2012 46750 4/16/2012 54200
12/1/2011 39200 2/8/2012 46750 4/17/2012 54000
12/2/2011 39300 2/9/2012 46600 4/18/2012 54350
12/5/2011 39000 2/10/2012 46500 4/19/2012 54350
12/6/2011 38800 2/13/2012 47500 4/20/2012 54400
12/7/2011 38850 2/14/2012 47300 4/23/2012 54300
12/8/2011 38750 2/15/2012 47900 4/24/2012 54350
5
12/12/2011 38700 2/17/2012 47700 4/26/2012 54350
12/13/2011 38950 2/20/2012 47700 4/27/2012 54350
12/14/2011 38850 2/21/2012 47700 4/30/2012 54200
12/15/2011 38700 2/22/2012 48800 5/1/2012 54250
12/16/2011 38550 2/23/2012 53000 5/2/2012 54600
12/19/2011 38600 2/24/2012 53000 5/3/2012 54800
12/20/2011 38500 2/27/2012 52050 5/4/2012 55700
12/21/2011 38500 2/28/2012 52850 5/7/2012 55700
12/22/2011 38500 2/29/2012 53000 5/8/2012 55500
12/23/2011 38500 3/1/2012 52500 5/9/2012 55500
12/27/2011 38500 3/2/2012 53000 5/10/2012 55700
12/28/2011 38500 3/5/2012 52800 5/11/2012 55750
12/29/2011 38650 3/6/2012 52850 5/14/2012 55000
12/30/2011 39000 3/7/2012 52950 5/16/2012 54000
1/2/2012 39000 3/8/2012 53500 5/21/2012 54000
1/3/2012 39000 3/9/2012 53100 5/22/2012 53750
1/4/2012 39800 3/12/2012 52900 5/23/2012 52700
1/5/2012 40000 3/13/2012 52800 5/24/2012 53100
1/6/2012 39550 3/14/2012 52850 5/25/2012 53000
1/9/2012 39950 3/15/2012 52850 5/28/2012 53100
1/10/2012 40250 3/16/2012 52650 5/29/2012 53100
1/11/2012 41800 3/19/2012 53000 5/30/2012 53000
1/12/2012 42200 3/20/2012 52950 5/31/2012 52800
1/13/2012 42350 3/21/2012 52800 1/16/2012 42000 3/22/2012 52750 1/17/2012 42000 3/26/2012 52650 1/18/2012 42000 3/27/2012 52650 1/19/2012 42250 3/28/2012 52750
Lampiran 2
Algoritma Matlab untuk menampilkan data dan
return
dari harga saham penutupan PT.
HM. Sampoerna. Tbk adalah sebagai berikut :
Saham=csvread('HMSP.csv');
n=length(Saham);
figure(1)
plot(1:n,Saham)
title('Harga Saham Penutupan Harian PT. HM Sampoerna')
xlabel('waktu (t)'), ylabel('Harga Saham')
6
figure(2)
plot(1:n_Ret,Ret)
title('Nilai Return dari Harga Saham')
ylabel('Return Harga Saham')
Algritma Matlab untuk estimasi parameter adalah sebagai berikut :
Saham=csvread('HMSP.csv');
ndat=length(Saham);
Ret=diff(log(Saham));
n_Ret=length(Ret);
myu_MLE=sum(Ret)/(ndat-1);
sigma_MLE=sqrt((sum((Ret-myu_MLE).^2))/(ndat-1));
Algoritma Matlab untuk simulasi harga saham untuk satu tahun kedepan adalah sebagai
berikut:
clc
clear all
%---Parameter-parameter metode.
S0=53000; r=0.0575; T=1; n=269; M=100;
%---Inisialisasi.
estimasi;
S=zeros(M,n);
S(:,1)=S0;
dt=T/n; % time-step
t=(0:dt:n*dt); % vektor titik waktu
%---Harga-harga aset pada setiap simulasi.
randn('state',100);
for m=1:M
for i=1:n
S(m,i+1)=S(m,i)*exp((r-0.5*sigma_MLE^2)*dt+(sigma_MLE*sqrt(dt))*randn);
end
figure(1)
plot(t,S(m,:),'-'), hold on
end
hold off
xlabel('waktu'), ylabel('Harga Saham')
title('Simulasi Pergerakan Harga Saham')
figure(2)
plot(1:M,S(:,n+1),'-')
xlabel('simulasi'), ylabel('Harga Saham')
7
Algoritma Matlab untuk menentukan harga opsi adalah sebagai berikut:
St=S(:,n+1);
%Nilai Opsi Call Eropa
K = [50000 53000 56000];
for i = 1:3
C(i)=(sum(exp(-r*T)*max(0,St-K(i))))./M;
end
%Nilai Opsi Call Eropa
for i = 1:3
P(i)=(sum(exp(-r*T)*max(0,K(i)-St)))./M;
end
[K' C' P']
Algoritma Matlab untuk simulasi pergerakan harga saham tiga bulan kedepan serta
mendapatkan nilai prosentase nilai error yang maksimum adalah sebagai berikut:
clc
clear all
%---Parameter-parameter metode.
S0=53000; T=1/4; n=61; M=100;
%---Inisialisasi.
estimasi;
S=zeros(M,n);
galat=zeros(1,n);
S(:,1)=S0;
dt=T/n; % time-step
t=(0:dt:n*dt); % vektor titik waktu
%---Harga-harga aset pada setiap simulasi.
randn('state',100);
for m=1:M
for i=1:n
S(m,i+1)=S(m,i)*exp((myu_MLE-0.5*sigma_MLE^2)*dt+(sigma_MLE*sqrt(dt))*randn);
end
figure(1)
plot(t,S(m,:),'-'), hold on
end
hold off
xlabel('waktu(Tahun)'), ylabel('Harga Saham(Rupiah)')
title('Simulasi Pergerakan Harga Saham')
%studi error dari simulasi
data2=csvread('HMSP2.csv')';
8
figure(2)
plot(data2)
xlabel('waktu(Hari)'), ylabel('Harga Saham')
title('Harga Saham PT. HM Sampoerna Tbk. tanggal 29 Februari sampai 31 Mei 2012')
figure(3)
plot(galat)
