Article Per Year (5 Year)
p-Index From 2021 - 2026
0.444
P-Index
This Author published in this journals
All Journal Media Statistika Journal of Fundamental Mathematics and Applications (JFMA)
Utami, Rianti Siswi
Unknown Affiliation
Decision Sciences, Operations Research & Management

Published : 2 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 2 Documents
Search

 1 
RISK ASSESSMENT OF STOCKS PORTFOLIO THROUGH ENSEMBLE ARMA-GARCH AND VALUE AT RISK (CASE STUDY: INDF.JK AND ICBP.JK STOCK PRICE) Tarno, Tarno; Trimono, Trimono; Maruddani, Di Asih I; Wilandari, Yuciana; Utami, Rianti Siswi
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.14.2.125-136

Abstract

Stocks portfolio is a form of investment that can be used to minimize the risk of loss. In a stock portfolio, the Value at Risk (VaR) can be predicted through the portfolio return. If portfolio return variance is heteroskedastic risk prediction can be done by using VaR with ARIMA-GARCH or Ensemble ARIMA-GARCH model approach. Furthermore, the accuracy of VaR is tested through Backtesting test. In this study, the portfolio is formed from PT Indofood CBP Sukses Makmur (ICBP.JK) and PT Indofood Sukses Makmur Tbk (INDF.JK) stocks from 01/01/2018 to 07/30/2021. The results showed that the best model is  Ensemble ARMA-GARCH with MSE 1.3231×10-6. At confidence level of 95% and 1 day holding period, the VaR of the Ensemble ARMA-GARCH was -0.0213. Based on the Backtesting test, it is proven to be very accurate to predict the value of loss risk because the value of the Violation Ratio (VR) is equal to 0.
Regression Analysis for Multistate Models Using Time Discretization with Applications to Patients’ Health Status Utami, Rianti Siswi; Effendie, Adhitya Ronnie; Danardono, Danardono
Journal of Fundamental Mathematics and Applications (JFMA) Vol 8, No 2 (2025)
Publisher : Diponegoro University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/jfma.v0i0.28439

Abstract

This paper addresses the estimation of multistate models in discrete time, which are widely used to describe complex event histories involving transitions between multiple health states. Accurate estimation of transition intensities and probabilities is essential for understanding disease progression and evaluating the impact of covariates. However, conventional estimators such as the Nelson–Aalen estimator often produce rough estimates, especially in sparse data settings. To improve estimation, we apply kernel smoothing to Nelson–Aalen estimators of transition intensities. Transition probabilities are then derived via product-integrals of the smoothed intensities. Covariate effects on transition intensities are modeled using the Cox proportional hazards model. Rather than modeling covariate effects on transition probabilities indirectly through their influence on transition intensities, we model them directly using pseudo-values of state occupation probabilities obtained through a jackknife procedure. These pseudo-values are treated as outcome variables in a Generalized Estimating Equation (GEE) framework. The proposed methodology is applied to patient visit data from a clinic in West Java, Indonesia, where it successfully captures both the progression dynamics across health states and the influence of key covariates.
Co-Authors A.A. Ketut Agung Cahyawan W Adhitya Ronnie Effendie, Adhitya Ronnie Danardono, Danardono Di Asih I Maruddani Tarno Tarno Trimono, Trimono Yuciana Wilandari