PERAMALAN DANA PIHAK KETIGA PADA BANK UMUM SYARIAH MENGGUNAKAN PENDEKATAN BOX-JENKINS DENGAN SARIMA

Muhammad Ihsan Hakiki, NIM.: 19108010076 (2026) PERAMALAN DANA PIHAK KETIGA PADA BANK UMUM SYARIAH MENGGUNAKAN PENDEKATAN BOX-JENKINS DENGAN SARIMA. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

Third-Party Funds (TPF) are the primary funding source for Islamic Commercial Banks and play an important role in maintaining liquidity and supporting financing activities. This study aims to analyze TPF patterns, determine the best SARIMA model, and forecast its values for the following five months. The study uses a quantitative approach with 74 monthly secondary observations from January 2020 to February 2026 obtained from the Financial Services Authority. The data were chronologically divided into 62 training observations from January 2020 to February 2025 and 12 testing observations from March 2025 to February 2026. The analysis followed the Box-Jenkins stages, including stationarity testing, model identification, parameter estimation, model selection, residual diagnostics, accuracy evaluation, and forecasting. The results identify SARIMA (0,1,0)(1,0,0)₁₂ as the best model, with a MAPE of 5.03 percent and white-noise residuals. After re-estimation, the forecast shows TPF generally increasing from IDR621.67 trillion in March 2026 to IDR646.77 trillion in July 2026, despite declining slightly in May.

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