ABSTRACT Mikhratunnisa, 2012.-- RELATIONSHIP BETWEEN THE COMPOSITE STOCK EXCHANGE INDEX AND THE VALUE OF INFLATION USING TRANSFER FUNCTION MODEL (i – xv; 120 pages) (Supervisors : I Gde Ekaputra Gunartha and Mustika Hadijati) The development of the stock exchange can be seen on the fluctuation of the Composite Stock Exchange Index (CSEI). The CSEI fluctuation is influenced by various factors both internal and external. One of the factors that influences it is inflation. Data inflation and CSEI classified as time series data, therefore the relationship between inflation and stock exchange index values can be modeled by using a transfer function model. The transfer function is one of the analysis technique in time series data to solve problems when consist of more than one set of time series data. Application of the transfer function in this study aims to determine the transfer function model between CSEI and the value of inflation, and then to forecast value of CSEI in year of 2011. In this study, transfer function modeling is done through four stages, namely: identification of the model, the transfer function model parameter estimation, diagnostic test for transfer function models, and the use of transfer function models selected for forecasting. The results show the transfer function model for forecasting stock index in 2011 as follows:

taBx 864,0 1 602,0y 17-tt

or

1*

19*

18*

17*

2*

1* 864,0602,0204,1602,02 tttttttt aaXXXYYY

where tt YY * and tt XX * .

By using the above selected model found that the forecasting results and the actual data of CSEI in 2011 are spread-out in the 95% confidence interval lines. This means that the model used for forecasting is an acceptable model. Key words: time series, the transfer function model

©Program Studi Matematika – FMIPA Universitas Mataram (2012)