APLIKASI METODE AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) PADA PERAMALAN STABILITAS BANK SYARIAH DI INDONESIA

Abstract

The international financial crisis in has increased the world's interest in Islamic banking. Forecasting the stability of Islamic Banks is important to prevent cost crisis in the future. Z-score can explain the possible bankruptcy of a bank that measures the number of standard deviations a return realization has to fall in order to deplete equity. Autoregressive Integrated Moving Average (ARIMA) has the advantage of accuracy and precision in forecasting. Analysis result showed that ARIMA (24,1,5) is the best model for forecastng the z-score of the Islamic bank with the following equation: ̇ ̇ ̇The model was used to predict predicts the z-score from September 2016 to December 2017. The result showed that z-score of Islamic banks have a downward trend until January 2017 and upward trend from June until November 2017 and then drop in December 2017. The main factor is the changes of retained earnings at each period.