Indonesia Stock Exchange Composite Modelling With Gaussian Copula Marginal Regression

This study discussed the modelling of Indonesia Stock Exchange Composite Index (ICI) in Indonesia Stock Exchange (IDX) with Gaussian Copula Marginal Regression (GCMR). In this study, secondary data, which was monthly data from 2010 to 2015 was used. Estimator of Copula parameters was to identify the relationship between ICI with macroeconomic factors. To estimate the parameters of Copula, Kendall's Tau approach was used. Another thing that was studied in this research was to determine the model predictions of GCMR on Gaussian Copula. The structure of dependencies between ICI and its macroeconomic factors largely followed Copula family. In addition, the predicted results with the ICI line plot approached the real data from actual data with the estimator data using GCMR models.