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Journal : Pattimura International Journal of Mathematics (PIJMath)

Forecasting the Stock Price of PT. Dayamitra Telekomunikasi with Single Input Transfer Function Model Arsanti, Resti; Satyahadewi, Neva; Martha, Shantika
Pattimura International Journal of Mathematics (PIJMath) Vol 4 No 2 (2025): Pattimura International Journal of Mathematics (PIJMath)
Publisher : Pattimura University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/pijmathvol4iss2pp87-96

Abstract

The unpredictable movement of stock prices is often a challenge for investors, so it requires a deeper understanding and consideration of various factors before making investment decisions. One of the factors that affect stock price movements is trading volume. Therefore, this study uses a single input transfer function model to forecast the daily closing stock price of PT. Dayamitra Telekomunikasi, with the closing stock price as the output variable and the stock trading volume as the input variable. The transfer function is a forecasting model that integrates ARIMA with multiple regression analysis, allowing modeling not only based on the values of the output variables, but also considering the influence of the input variables. ARIMA model estimation is performed on the input series for the prewhitening process, then the order of the transfer function is determined using cross-correlation plots, as well as model diagnostic tests to ensure its feasibility. Model accuracy is calculated to evaluate its performance in forecasting. The data used in this study are daily data from the period July 5, 2022 to October 9, 2024. The transfer function model obtained has an order of (2,0,0), with a MAPE value of 1.09%, which indicates that the model has good accuracy. Based on the forecasting results, it is estimated that there will be a decrease in the share price of PT. Dayamitra Telekomunikasi Tbk for the next five periods
Comparison of Single Net Premium of Unit Linked Endowment Life Insurance using Annual Ratchet Method and Black Scholes Model Idilla, Leona; Satyahadewi, Neva; Martha, Shantika
Pattimura International Journal of Mathematics (PIJMath) Vol 4 No 2 (2025): Pattimura International Journal of Mathematics (PIJMath)
Publisher : Pattimura University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/pijmathvol4iss2pp73-86

Abstract

Annual Ratchet is an indexing method. Black Scholes is a model used to determine option. The purpose of this study is to compare the results of single net premium of unit-linked endowment life insurance using the Annual Ratchet method and the Black Scholes Model. The data used in this study are data on the daily closing share price of PT Telkom Indonesia (Persero) Tbk for the period December 20, 2021 to December 20, 2022, Bank Indonesia interest rates and the 2019 Mortality Table. In this study, a comparison is made between the Annual Ratchet method and the Black-Scholes model to calculate the net single premium of unit-linked endowment life insurance for a 30-year-old male insured. The results show that the premium calculated using the Annual Ratchet method is greater than the premium from the Black-Scholes model, which is Rp 8,725,000. This is due to the additional protection feature in the Annual Ratchet method, which provides a minimum guaranteed investment value, thus increasing the premium value to be paid.