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All Journal Majalah Ilmiah Bijak Industrial Research Workshop and National Seminar

Sugiyanto Sugiyanto

Program Studi Statistika, Universitas Sebelas Maret

Author-ID : 2431932

Humanities Chemical Engineering, Chemistry & Bioengineering Civil Engineering, Building, Construction & Architecture Computer Science & IT Control & Systems Engineering Economics, Econometrics & Finance Education Electrical & Electronics Engineering Engineering Industrial & Manufacturing Engineering Mechanical Engineering Social Sciences Other

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Articles

Pemodelan Deteksi Krisis Keuangan di Indonesia Berdasarkan Indikator M2/Cadangan Devisa Aisyah Zahrotul Hidayah; Sugiyanto Sugiyanto; Isnandar Slamet
Majalah Ilmiah Bijak Vol 16, No 2: September 2019
Publisher : Institut Ilmu Sosial dan Manajemen STIAMI

The banking crisis reflects the liquidity crisis and bankruptcy of banks in the financial system. The financial crisis that occurred in mid-1997 resulted in a financial crisis that had a severe impact on the Indonesian economy. This made it aware of the importance of building a financial crisis early detection system to prepare for a crisis. The crisis occurs due to several macroeconomic indicators undergoing structural changes (regimes) and contain very high fluctuations. Combined volatility models and Markov regime switching are very suitable for explaining crises. The M2/international reserves indicator from 1990 to 2018 was used to build a crisis model. The results showed that the Markov regime switching autoregressive conditional heteroscedasticity model MRS-ARCH(2,1) could explain the crisis that occurred in mid-1997. Based on this model, in the future the crisis might occur if the M2/international reserves indicator decreased minimum of 13%

Pemodelan Deteksi Dini Krisis Mata Uang Berdasarkan Indiktor Nilai Tukar Nominal Adebun Adebun; Sugiyanto Sugiyanto; Isnandar Slamet
Majalah Ilmiah Bijak Vol 16, No 2: September 2019
Publisher : Institut Ilmu Sosial dan Manajemen STIAMI

The financial crisis by definition is a situation where several financial assets lose most of their nominal value. The financial crisis experienced by Indonesia in 1997 had a severe impact on the Indonesian economy, so a model was needed to detect this crisis. The financial crisis can be detected using the nominal exchange rate indicator. This study aims to determine the appropriate combination of volatility models and the Markov switching model as a model for detecting financial crises in Indonesia based on nominal exchange rate indicators. The nominal exchange rate indicator taken from 1990 to 2018 is used to build a model for early detection of the financial crisis in Indonesia. The results showed that the combined exponential generalized autoregressive conditional heteroscedasticity and Markov regime switching, MRS-EGARCH (3,1,1) volatility models were both used to detect financial crises in Indonesia based on nominal exchange rate indicators

Model Deteksi Krisis Indonesia dengan Indikator Suku Bunga Simpanan Riil Rina Safitri; Sugiyanto Sugiyanto; Sri Sulistijowati Handajani
Majalah Ilmiah Bijak Vol 16, No 2: September 2019
Publisher : Institut Ilmu Sosial dan Manajemen STIAMI

The financial crisis is a condition where a country's finances experience a disruption which is characterized by a drastic increase in the inflation rate, a weakening currency exchange rate, and a decrease in other economic activities. Indonesia experienced financial crises in 1997 and 1998 which resulted in a collapse of financial conditions and national stability. Therefore, it is necessary to have a model to find out the crisis, so that efforts to recover the impact of the crisis can be done as early as possible from the model. This study aims to apply the Markov Switching Error Correction Model to detect a crisis. Based on the indicator of real deposit interest rates it can be concluded that the MS-ECM can explain the crisis that occurred in mid-1997 and late 2005

Penerapan Model Epidemic Type Aftershock Sequence (ETAS) pada Data Gempa Bumi di Nusa Tenggara Barat Annisa Indah Kurnia; Hasih Pratiwi; Sugiyanto Sugiyanto
Prosiding Industrial Research Workshop and National Seminar Vol 10 No 1 (2019): Prosiding Industrial Research Workshop and National Seminar
Publisher : Politeknik Negeri Bandung

Kejadian gempa bumi bersifat acak, sehingga pengembangan metode prakiraan gempa bumi sangat diperlukan. Salah satu metode prakiraan gempa bumi dari aspek stokastik adalah proses titik. Model epidemic type aftershock sequence (ETAS) merupakan model pada proses titik yang mempertimbangkan keterkaitan gempa satu dengan yang lainnya. Model ETAS dinyatakan dengan fungsi intensitas bersyarat yang berguna untuk mengetahui peluang kemunculan terjadinya gempa bumi. Tujuan penelitian ini adalah menerapkan model ETAS pada data gempa bumi di Nusa Tenggara Barat. Metode estimasi likelihood maksimum digunakan untuk memperoleh estimasi parameter model ETAS. Hasil estimasi parameter tersebut yaitu laju kegempaan dasar sebesar 0.0080, produktivitas gempa susulan sebesar 1.9066, efisiensi gempa bumi dengan magnitudo tertentu menghasilkan gempa susulan sebesar 0.9192, skala waktu laju peluruhan gempa susulan sebesar 0.0237, dan laju peluruhan gempa susulan sebesar 1.0923.

Co-Authors Adebun Adebun Aisyah Zahrotul Hidayah Annisa Indah Kurnia Handajani, Sri Sulistijowati Isnandar Slamet Pratiwi, Hasih Rina Safitri

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