Idrus Syahzaqi
Department of Mathematics, Universitas Airlangga

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Pertamina Geothermal Energy Stock Price Prediction and Risk Analysis: ARIMA-GARCH and VaR with Cornish-Fisher Expansion M. Fariz Fadillah Mardianto; Doni Muhammad Fauzi; Idrus Syahzaqi; Elly Pusporani
JTAM (Jurnal Teori dan Aplikasi Matematika) Vol 10, No 3 (2026): July
Publisher : Universitas Muhammadiyah Mataram

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31764/jtam.v10i3.37866

Abstract

The geothermal energy sector makes a strategic contribution to supporting long-term domestic energy sustainability and attracts investor attention due to high market volatility. Therefore, analysis that can accurately describe stock price dynamics and risks is needed. This study aims to model and predict the share price of PT Pertamina Geothermal Energy (PGEO) and estimate the associated investment risk. This study uses a quantitative time series approach with ARIMA–GARCH modeling and the Value at Risk method using Cornish–Fisher Expansion. This study uses weekly closing price data for PGEO stocks from February 2023 to September 2025. The methods used include ARIMA-GARCH modeling for stock price prediction and Cornish–Fisher Expansion based Value at Risk to estimate investment risk. The results indicate that the ARIMA(2,2,0)–GARCH(2,0) model provides the most adequate representation of PGEO stock price dynamics and volatility, achieving an RMSE value of 258.33 and a MAPE of 16.21% as measures of forecasting performance. Meanwhile, risk measurement using the Cornish–Fisher Expansion Value at Risk method produced a VaR value that increased along with the holding period and confidence level, with a risk range of 8.21% to 19.95%. The novelty of this research lies in the integration of ARIMA–GARCH volatility modeling and the Value at Risk method using Cornish–Fisher Expansion, thereby providing a more comprehensive analytical framework for price prediction and investment risk estimation in renewable energy stocks. The findings of this study are expected to serve as an empirical reference for investors and policymakers in assessing potential risks and supporting more informed investment decisions within the renewable energy sector.
Air Temperature Prediction in Sleman Yogyakarta using Fourier Series and Markov Switching Idrus Syahzaqi; Muhammad Riefky; Fajar Dwi Cahyoko; Muhammad Hafidzuddin Nahar; Fachriza Yosa Pratama; Muhammad Fariz Fadillah Mardianto
JTAM (Jurnal Teori dan Aplikasi Matematika) Vol 10, No 2 (2026): April
Publisher : Universitas Muhammadiyah Mataram

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31764/jtam.v10i2.35371

Abstract

Global warming increases the urgency of accurate local temperature forecasting, particularly in Sleman, Yogyakarta, a region characterized by diverse topography and high exposure to climate-related risks such as volcanic activity, agricultural vulnerability, and rapid urbanization. Such conditions increase the urgency for localized predictive models that can support agricultural planning, energy management, and disaster preparedness. This research used quantitative approach with a comparative predictive modelling design to predict the weekly average air temperature in Sleman by comparing two models: the Fourier Series regression and the Markov Switching Autoregressive (MSAR) model. The Fourier Series was selected for its ability to capture smooth seasonal and periodic behavior typical of climatological data, whereas the MSAR model was employed to accommodate regime shifts and nonlinear structural variations. The dataset comprises 127 weekly observations from January 2023 to June 2025 (BMKG), the data were split into 70% training and 30% testing. Model performance was assessed using GCV, MSE, MAE, MAPE, and residual diagnostics. Results show that the Fourier Series model performs substantially better, achieving lower GCV (0.3520), MSE (0.00415 training; 0.00114 testing), and MAE (0.34015 training; 0.12940 testing), as well as lower MAPE (1.26% training; 0.47% testing). In contrast, the MSAR model yields higher errors with GCV (0.5747), MSE (0.9113 training; 0.4686 testing), MAE (0.8005 training; 0.5512 testing), and MAPE (1.96% training; 1.34% testing). These results indicate that Sleman’s temperature dynamics characterized by stable oscillatory patterns with minimal regime shifts are more effectively captured through harmonic decomposition. The study reinforces the importance of periodic modeling for mixed-topography regions like Sleman and recommends future research integrating additional climatic variables, hybrid statistical–machine-learning frameworks, and longer time spans to improve responsiveness to extreme events and nonlinear atmospheric behavior.