Application of Vector Autoregressive with Exogenous Variable: Case Study of Closing Stock Price of PT INDF.Tbk and PT ICBP.Tbk

Multivariate time series are widely used in various fields such as finance, economics,and the stock market. One analysis model that is widely used for multivariate time series data is the VAR model. Vector autoregressive (VAR) is a model used to describe the relationship between several variables. The VAR model provides an alternative approach that is very suitable for forecasting purposes and is very suitable for solving economic data problems. The variables used in this study consisted of endogenous variables with closing prices of ICBP and INDF shares and exogenous variables with exchange rates collected from January 2017 to July 2020. In this study, the best model, VARX (1,0), was obtained. also the relationship between variables through the impulse response function and granger causality. Furthermore, forecasting is also carried out for the next 30 days using the best model, VARX (1,0).