PEMODELAN DAN PERAMALAN INDEKS HARGA SAHAM GABUNGAN (IHSG) MENGGUNAKAN ARIMAX-TARCH

The Composite Stock Price Index (IHSG) is a value that describes the combined performance of all shares listed on Indonesia Exchange. JCI serves as benchmark for investors in investing. method used to predict future conditions based past data forecasting . Autoregressive Integrated Moving Average with Exogenous Variables (ARIMAX) amodel time series can be forecasting. Financial has high volatility which causes variance residual model not constant (heteroscedasticity). ARCH / GARCH solve heteroscedasticity problem model. If heteroscedastic and asymmetric, then Threshold Conditional Heteroskedasticity (TARCH). are January 2000 - April 2020 period dollar exchange rate asvariables independent from ARIMAX best results this study (1,1,0) -TARCH (1,2) an AIC -0.819074.