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All Journal Media Statistika BIMASTER Epsilon: Jurnal Matematika Murni dan Terapan Jurnal Edukasi dan Penelitian Informatika (JEPIN) JMPM: Jurnal Matematika dan Pendidikan Matematika BAREKENG: Jurnal Ilmu Matematika dan Terapan JTAM (Jurnal Teori dan Aplikasi Matematika) Sarwahita : Jurnal Pengabdian Kepada Masyarakat Insan Cita Jurnal Pengabdian Kepada Masyarakat JAMBURA JOURNAL OF PROBABILITY AND STATISTICS Euler : Jurnal Ilmiah Matematika, Sains dan Teknologi
Martha, Shantika
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Agriculture, Biological Sciences & Forestry Humanities Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Energy Engineering Environmental Science Mathematics Mechanical Engineering Physics Public Health Social Sciences Transportation Other

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Journal : Media Statistika

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THE APPLICATION OF THE SEMIPARAMETRIC GSTAR MODEL IN DETERMINING GAMMA-RAY LOG DATA ON SOIL LAYERS Yundari, Yundari; Martha, Shantika
MEDIA STATISTIKA Vol 14, No 2 (2021): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/medstat.14.2.108-117

Abstract

This research examines the semiparametric Generalized Space-Time Autoregressive (GSTAR) spacetime modeling and determines its spatial weight. In general, the spatial weights used are uniform, binary weights, and based on the distance, the result is a fixed weight. The GSTAR model is a stochastic model that takes into account its random variables. Thus, it is necessary to study the random spatial weights. This study introduced a new method to estimate the observed value of the GSTAR model semiparametric with a uniform kernel. The data involved the Gamma Ray (GR) log data on four coal drill holes. The semiparametric GSTAR modeling aimed to predict the amount of log GR in the unobserved soil layer based on the observation data information on the layer above it and its surrounding location. The results revealed that semiparametric GSTAR modeling could predict the presence of coal seams and their thickness of drill holes. The results also highlight the validity test on the out-sample data that the error in each borehole results in a small error. In addition, the error tends to approach the actual observed value at a depth of 1 meter down.
APPLICATION OF DELTA GAMMA (THETA) NORMAL APPROXIMATION IN RISK MEASUREMENT OF AAPL'S AND GOLD'S OPTION Sulistianingsih, Evy; Martha, Shantika; Andani, Wirda; Umiati, Wiji; Astuti, Ayu
MEDIA STATISTIKA Vol 16, No 2 (2023): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/medstat.16.2.160-169

Abstract

The option value has a nonlinear dependence relationship on risk factors existing in the capital market. Therefore, this paper considered utilizing Delta Gamma (Theta) Normal Approximation (DGTNA) as a nonlinear approach to determine the change of profit/loss of a European call option to assess the option risk. The method uses the second order of Taylor Polynomial around the stock price underlying the option to approximate the option profit/loss, which is crucial to construct the VaR based on DGTNA. VaR based on DGTNA also considered three Greeks, namely Delta, Gamma, and Theta, known as sensitivity measures in option. This research applied VaR based on DGTN approximation to analyze the European call option of Apple Inc (AAPL) and Barrick Gold Corporation (GOLD) for several strike prices. The performance of DGTN VaR analyzed by Kupiec Backtesting summarized that in this case, DGTN VaR provides the best risk assessment over different confidence levels (80, 90, 95, and 99 percent) compared to Delta Normal VaR and Delta Gamma Normal VaR.
Co-Authors , Syahru Rahmayuda, Haris Febriyanto Ramadhan , Sampe Hotlan Sitorus Agustono, Hendri Al Azizi, Fudhail Azzam Thoriqi Amarrullah, Rido Andani, Wirda Anggria, Vini Anjelika, Seselia Apriliyanti, Rita Aprizkiyandari, Siti Asmara, Mira AYU ASTUTI, AYU Ayuni, Anisa Putri Bartolomius, Bartolomius Cahyani, Cristy Framedia Calissta, Leanna Belva Clarenda Siboro, Viren Marcellya Cornellia, Amanda Dadan Kusnandar Deanovela, Adelea Delvi Debataraja, Naomi Nessyana Dwi Marisa Midyanti Dyaherawati, Oktavia Ersawahyuni, Aisna Evy Sulistianingsih Fallah, Khalishah Ghina Fiqriah, Isnaini Gunawan, Risky Hamdari, Ela Hariadi, Wahyudio Shaney Fikri Hendra Perdana hidayatullah, Hidayatullah hidayatullah Huda, Nur’ainul Miftahul Ilhamsyah Imro'ah, Nurfitri IMRO’AH, NURFITRI Indriani, Maria Meilinda Istighfarani, Ridha Maharani, Cinta Priscillia Mori, Stepanus Armadi Muhtadi, Radhi Neva Satyahadewi Novi Safitri Nurhaliza, Sy. Farini Oktitannia, Dea Pebriyandi, Rifki Pramesti, Surya Adinda Fitria Prianti, Sabrina Eka Purwanty, Purwanty Puspita, Risma Radinasari, Nur Ismi Rahmadanti, Putri Rahmawati, Fenti Nurdiana Rezaldi, Muhammad Fachri Riovani, Vriska Dwi Rivaldi, Syahrul Rizki, Setyo Wira Robbiati, Dian Sadikin, Utin Azwa Sayhani Salsabila, Salsabila Salsabila, Yumna Hanum Sindia, Eri Tamtama, Ray Umiati, Wiji Vebriyanti, Lo Mei Ly Wuri, Hastri Sastia Yogi, Vinsensius Yudhi Yundari, Yundari Zaria, Della