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All Journal IJCCS (Indonesian Journal of Computing and Cybernetics Systems) Media Statistika Jurnal Studi Manajemen Organisasi Elkom: Jurnal Elektronika dan Komputer Jurnal Ilmiah Teknik Elektro Komputer dan Informatika (JITEKI) Jurnal Ilmiah KOMPUTASI BAREKENG: Jurnal Ilmu Matematika dan Terapan JOURNAL OF APPLIED INFORMATICS AND COMPUTING JTAM (Jurnal Teori dan Aplikasi Matematika) Jiko (Jurnal Informatika dan komputer) JURNAL PENDIDIKAN TAMBUSAI JIPI (Jurnal Ilmiah Penelitian dan Pembelajaran Informatika) JASIEK (Jurnal Aplikasi Sains, Informasi, Elektronika dan Komputer) Jurnal Pendidikan dan Konseling bit-Tech JATI (Jurnal Mahasiswa Teknik Informatika) Jurnal Pembelajaran Pemberdayaan Masyarakat (JP2M) International Journal of Advances in Data and Information Systems Al-Mutharahah: Jurnal Penelitian dan Kajian Sosial Keagamaan Studies in Learning and Teaching Jurnal Lebesgue : Jurnal Ilmiah Pendidikan Matematika, Matematika dan Statistika Nusantara Science and Technology Proceedings Jurnal Teknik Informatika (JUTIF) Jurnal Bisnis Indonesia Jurnal FASILKOM (teknologi inFormASi dan ILmu KOMputer) International Journal of Data Science, Engineering, and Analytics (IJDASEA) Jurnal Kolaboratif Sains Al Khidma: Jurnal Pengabdian Masyarakat Jurnal Ilmiah Edutic : Pendidikan dan Informatika Malcom: Indonesian Journal of Machine Learning and Computer Science Eksponensial STATISTIKA Kohesi: Jurnal Sains dan Teknologi Information Technology International Journal (ITIJ) Seminar Nasional Teknologi dan Multidisiplin Ilmu Parameter: Jurnal Matematika, Statistika dan Terapannya Jurnal ilmiah teknologi informasi Asia RAGAM: Journal of Statistics and Its Application Jati Emas (Jurnal Aplikasi Teknik dan Pengabdian Masyarakat)
Trimono, Trimono
Universitas Pembangunan Nasional Veteran Jawa Timur
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Journal : bit-tech

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ARIMA-TGARCH Model for Return Prediction and Risk Estimation with VaR Imanta Ginting; Trimono Trimono; Kartika Maulida Hindrayani
bit-Tech Vol. 8 No. 2 (2025): bit-Tech
Publisher : Komunitas Dosen Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32877/bt.v8i2.3090

Abstract

Investment activity in the Indonesian capital market has experienced significant growth, driven by increasing public awareness and accessibility to financial instruments. Stocks remain the most favored investment tool due to their potential for high returns, though they come with higher risks. Accurate modeling of return dynamics and risk estimation is thus crucial for informed investment decisions. This study analyzes the return and volatility of PT Telekomunikasi Indonesia Tbk (TLKM) stock using a hybrid time series approach that combines the Autoregressive Integrated Moving Average (ARIMA) model and the Threshold Generalized Autoregressive Conditional Heteroskedasticity (TGARCH) model. The analysis uses daily closing price data from 2020 to 2024, with 1,210 observations. The best-fitting model, ARIMA(2,0,2)–TGARCH(1,1), resulted in low Root Mean Squared Error (RMSE) values of 0.0188 for both training and testing datasets, indicating strong prediction accuracy. Forecasting over a five-day horizon revealed fluctuating returns and a decreasing trend in volatility, from 0.0230 to 0.0198. Additionally, the study utilized the Value at Risk (VaR) method to estimate potential losses under normal market conditions. At a 95% confidence level, the predicted daily loss for a capital investment of IDR 50,000,000 ranged between IDR 1,633,108 and IDR 1,859,355. The combination of ARIMA and TGARCH, integrated with VaR, provides a comprehensive framework for capturing both linear return trends and asymmetric volatility, offering investors a robust quantitative tool for managing risks and optimizing strategies.
Stacked LSTM Integrated with Big Data Pipelines for Automated Food Beverage Stock Price Prediction Ilil Musyarof Asfiani; Dwi Arman Prasetya; Trimono Trimono
bit-Tech Vol. 8 No. 3 (2026): bit-Tech
Publisher : Komunitas Dosen Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32877/bt.v8i3.3687

Abstract

Stock price volatility in the Food and Beverage (F&B) sector presents persistent challenges for investors and decision-makers, particularly in emerging markets. This study proposes an automated stock price prediction framework whose primary contribution lies in the system-level integration of a Stacked Long Short-Term Memory (LSTM) model with a scalable big data orchestration pipeline, rather than in introducing a new forecasting algorithm alone. The system targets three Indonesian F&B companies PT Indofood CBP Sukses Makmur Tbk, PT Mayora Indah Tbk, and PT Garudafood Putra Putri Jaya Tbk using historical daily stock price data. The dataset spans multiple years of trading records retrieved from the Yahoo Finance API, and predictions are generated for a seven-day forecasting horizon. Methodologically, the approach combines a multi-layer LSTM architecture with Apache Spark for distributed data preprocessing, Apache Airflow for automated workflow orchestration, and PostgreSQL for structured data storage. This integration enables scheduled data ingestion, reproducible model training, and continuous forecasting within an end-to-end analytics pipeline. Model performance is evaluated using error-based metrics, including Mean Absolute Error (MAE), Root Mean Square Error (RMSE), and Mean Absolute Percentage Error (MAPE), and is benchmarked against a conventional single-layer LSTM without pipeline orchestration. Empirical results show that the proposed pipeline-based Stacked LSTM achieves lower prediction error, with MAPE values ranging between approximately 1.1% and 2.2% across the evaluated stocks, indicating improved stability and accuracy. Overall, the findings demonstrate enhanced forecasting reliability and deployment readiness through automated pipelines.
Co-Authors Abda Abda Abdullah Abdullah Adam, Cindi Adelia Adelia, Adelia Adiwidyatma, Afdhal Reshanda Afidria, Zulfa Febi Amanillah, Rahmatul Amri Muhaimin Andreas Nugroho Sihananto Ardiani, Ardia Eva Arif, Farah Yusnaida Arifta, Septia Dini Arrum Marwani Aurelia, Cenditya Ayu Aviolla Terza Damaliana Aviolla Terza Damaliana Aviolla Terza Damaliana Awang, Wan Suryani Wan Azni Aisyah Azzahra, Adelia Ramadhina Bagus Widduro Bainar Bainar, Bainar Bey Lirna, Cagiva Chaedar Carissa, Savvy Prissy Amellia Cindi Adam Damaliana, Aviolla Terza Desy Miftachul Ilmi Arifin Putri Dewi, Ni Luh Ayu Nariswari Di Asih I Maruddani Di Asih I Maruddani Di Asih I Maruddani Diash, Hakam Dzakwan Dinda Putri Arnindi Diyasa, I Gede Susrama Mas Dwi Arman Prasetya Dwi Arman Prasetya Dwi Arman Prasetya Dwi Arman Prasetya Edi Sugiyanto Eny Widayawati Erna Novita Anggie Fahrudin, Tresna Maulana Fairuz Luthfia Winoto Putri, Maretta Farkhan Febri Giantara Febriyanti, Alvi Yuana Febyanti, Iin Hadi, Surjo Hadiyan Pradipta, Alvino Hasan Hendri Prabowo Herlina Herlina Hervrizal, Hervrizal I Gede Susrama Mas Diyasa I Gede Susrama Mas Diyasa I Gusti Putu Asto Buditjahjanto idhom, Mohammad Ikaningtyas, Maharani Ikaningtyas, Maharani Ilil Musyarof Asfiani Imanta Ginting Imelda Widya Ningrum Indira Zein Rizqin Insania, Nichlata Irawan, Tanaya Anindita Irma Amanda Putri Jacinda Ardina Gestyaki Kartika Maulida Hindrayani Kassim, Anuar bin Mohamed Khairunisa, Adenda Khosyi, Hanun Aufa Nur Kusdani, Kusdani Kuswardana, Dendy Arizki Linggasari, Dienna Eries Lisanthoni, Angela M Zufar Irhab S Putra Maharani Ikaningtyas Maruddani, Di Asih Mas'ad Mas'ad Maulana Pasha, Naufal Ricko Maulidiyyah, Nova Auliyatul Milla Akbarany Baktiar Putri Mochammad Abudrrochman Faiz Mohammad Idhom Mohammad Idhom Mohammad Idhom Muhaimin, Amri Muhammad Muharrom Al Haromainy Muhammad Nasrudin Muhammad Nasrudin Munoto Nabila, Nasywa Azzah Nabilah Selayanti Nafiah, Fajria Ulumin Nariyana, Calvien Danny Nasution, Baktiar Nathania, Vannesa Nevia Desinta Putri Ningrum, Imelda Widya Nova Auliyatul Maulidiyyah Novita Anggraini Nugraheni, Setiawati Oktaviani, Sheny Eka Panglima, Talitha Fujisai Prisma Hardi Aji Riyantoko Prismahardi Aji Riyantoko Putri, Irma Amanda Rafiqah, Lailan Rafli Feandika Nugroho, Muhammad Renaldi, Sahat Rhomaningtias, Lina Riswanda, Mohammad Nizar Ryan Dana, Alvin Sabela, Sefilah Naurah Safira Devi, Arsita Safira, Alya Mirza Salma Namira, Alivia Sekar Arum Melati Selly Rizkiyah Shindi Shella May Wara Sonhaji, Abdulah Sugiarti, Nova Putri Dwi Suprapto, Rheinka Elyana Susrama Mas Diyasa , I Gede Syamsul Rizal Tarno Tarno Taufik, Ikbar Athallah Terza Damaliana, Aviolla Tiara Audrey Anugerah Hadin Tresna Maulana Fahrudin Utami, Rianti Siswi Utriweni Mukhaiyar Valentina, Tiara Wahyu Syaifullah Jauharis Saputra Wardah, Salsabila Wibowo, Muhammad Bagas Satrio Widayawati, Eny Widison, Daffin Tanjiro Yuciana Wilandari Zalfa Assyadida, Azizah