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Zukhronah, Etik
Universitas Sebelas Maret
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Penerapan Model ARIMA-ARCH untuk Meramalkan Harga Saham PT. Indofood Sukses Makmur Tbk Yulvia Fitri Rahmawati; Etik Zukhronah; Hasih Pratiwi
Jurnal Inovasi Bisnis dan Kewirausahaan Vol 3 No 3 (2021): Business Innovation and Entrepreneurship Journal (August)
Publisher : Entrepreneurship Faculty, Universitas Garut

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (380.444 KB) | DOI: 10.35899/biej.v3i3.307

Abstract

Abstract– The stock price is the value of the stock in the market that fluctuates from time to time. Time series data in the financial sector generally have quite high volatility which can cause heteroscedasticity problems. This study aims to model and to predict the stock price of PT Indofood Sukses Makmur Tbk using the ARIMA-ARCH model. The data used is daily stock prices from 2nd June 2020 to 15th February 2021 as training data, while from 16th February 2021 to 1st March 2021 as testing data. ARIMA-ARCH model is a model that combines Autoregressive Integrated Moving Average (ARIMA) and Autoregressive Conditional Heteroscedasticity (ARCH), which can be used to overcome the residues of the ARIMA model which are indicated to have heteroscedasticity problems. The result showed that the model that could be used was ARIMA(1,1,2)-ARCH(1). This model can provide good forecasting result with a relatively small MAPE value of 0.515785%. Abstrak– Harga saham adalah nilai saham di pasar yang berfluktuasi dari waktu ke waktu. Data runtun waktu di sektor keuangan umumnya memiliki volatilitas cukup tinggi yang dapat menyebabkan masalah heteroskedastisitas. Penelitian ini bertujuan untuk memodelkan dan meramalkan harga saham PT Indofood Sukses Makmur Tbk menggunakan model ARIMA-ARCH. Data yang digunakan adalah harga saham harian dari 2 Juni 2020 hingga 15 Februari 2021 sebagai data training, sedangkan dari 16 Februari 2021 hingga 1 Maret 2021 sebagai data testing. Model ARIMA-ARCH merupakan suatu model yang menggabungkan Autoregressive Integrated Moving Average (ARIMA) dan Autoregressive Conditional Heteroscedasticity (ARCH), yang dapat digunakan untuk mengatasi residu dari model ARIMA yang terindikasi memiliki masalah heteroskedastisitas. Hasil penelitian menunjukkan bahwa model yang dapat digunakan adalah ARIMA(1,1,2)-ARCH(1). Model tersebut mampu memberikan hasil peramalan yang baik dengan perolehan nilai MAPE yang relatif kecil yaitu 0,515785%.
Model ARIMA-GARCH Pada Peramalan Harga Saham PT. Jasa Marga (Persero) Fransisca Trisnani Ardikha Putri; Etik Zukhronah; Hasih Pratiwi
Jurnal Inovasi Bisnis dan Kewirausahaan Vol 3 No 3 (2021): Business Innovation and Entrepreneurship Journal (August)
Publisher : Entrepreneurship Faculty, Universitas Garut

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (420.185 KB) | DOI: 10.35899/biej.v3i3.308

Abstract

Abstract– PT Jasa Marga is a great reputation company, the leader in comparable businesses, has a steady income, and paying dividends consistently. This paper aims to find the best model to forecast stock price of PT Jasa Marga using ARIMA-GARCH. The data used is daily stock price of PT Jasa Marga from March 2020 to March 2021. Autoregressive Integrated Moving Average (ARIMA) is a method that can be used to forecast stock prices. However, an economical data tend to have heteroscedasticity problems, one of the methods used to overcome them is Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Future stock price of PT Jasa Marga is forecasted with ARIMA-GARCH model. The data is modeled with ARIMA first, if there is heteroscedasticity, combine the model with GARCH model. The result of this study indicated that ARIMA (1, 1, 1) – GARCH (2, 2) is the best model, with MAPE 1,5647 Abstrak– PT Jasa Marga adalah perusahaan yang reputasinya baik, terdepan di perusahaan-perusahaan sejenis, stabil pendapatannya, dan pembayaran devidennya konsisten. Paper ini bertujuan untuk mencari model terbaik dalam meramalkan harga saham PT Jasa Marga menggunakan ARIMA-GARCH. Data harga saham yang diolah yaitu data sekunder dari PT Jasa Marga pada Maret 2020 hingga Maret 2021. Autoregressive Integrated Moving Average (ARIMA) sebagai metode yang dapat dimanfaatkan guna meramalkan harga saham. Akan tetapi, data tentang ekonomi cenderung memiliki masalah heteroskedastisitas, metode yang umum dipakai untuk mengatasinya adalah Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Harga saham PT Jasa Marga diramalkan dengan model ARIMA-GARCH. Data terlebih dahulu dimodelkan dengan ARIMA, jika didapati adanya heteroskedastisitas, maka model tersebut dikombinasikan dengan GARCH. Penelitian ini menghasilkan ARIMA (1,1,1)-GARCH(2,2) sebagai model terbaik dengan MAPE 1,5647.
Perbandingan Model Regresi Robust Estimasi M Dan Estimasi Least Trimmed Squares (LTS) Pada Jumlah Kasus Tuberkulosis Di Indonesia Dina Rohmah; Yuliana Susanti; Etik Zukhronah
JURNAL PENDIDIKAN MATEMATIKA Vol 4, No 2: November 2020
Publisher : Universitas Islam Sultan Agung

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30659/kontinu.4.2.136-146

Abstract

Peramalan Data Inflow dan Outflow Uang Kartal Bank Indonesia Provinsi DKI Jakarta Menggunakan Model ARIMAX dan SARIMAX Atika Amalia; Etik Zukhronah; Sri Subanti
Indonesian Journal of Applied Statistics Vol 4, No 2 (2021)
Publisher : Universitas Sebelas Maret

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.13057/ijas.v4i2.45673

Abstract

Abstract. DKI Jakarta Province plays a crucial role as the center of government and economy in Indonesia. The description of currency inflows and outflows is highly required before Bank Indonesia formulates the appropriate policies to control the circulation of money. The monthly data of currency inflow and outflow of Bank Indonesia of DKI Jakarta show a significant increase in each year particularly before, during, and after Eid al-Fitr. The determination of Eid al-Fitr does not follow the Gregorian calendar but based on the Islamic calendar. The difference in the use of the Gregorian and Islamic calendars in a time series causes a calendar variation. Thus, the determination of Eid al-Fitr in the Gregorian calendar changes as it goes forward eleven days each year or one month every three years. This study aims to obtain the best model and forecast currency inflows and outflows of Bank Indonesia DKI Jakarta using the ARIMAX and SARIMAX models. The study used in-sample data from January 2009 to December 2018 and out-sample data from January to October 2019. The best model was selected based on the smallest out-sample MAPE value. The result showed that the best forecasting model of inflow was ARIMAX (1,0,1). Meanwhile, the best forecasting model for outflow was SARIMAX (2,0,1)(0,0,1)12.Keywords: ARIMAX, calendar variation, forecasting, SARIMAX
Peramalan Banyak Pengunjung Pantai Pandasimo Bantul Menggunakan Regresi Runtun Waktu dan Seasonal Autoregressive Integrated Moving Average Exogenous Tito Tatag Prakoso; Etik Zukhronah; Hasih Pratiwi
Indonesian Journal of Applied Statistics Vol 4, No 1 (2021)
Publisher : Universitas Sebelas Maret

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.13057/ijas.v4i1.45795

Abstract

Forecasting is a ways to predict what will happen in the future based on the data in the past. Data on the number of visitors in Pandansimo beach are time series data. The pattern of the number of visitors in Pandansimo beach is influenced by holidays, so it looks like having a seasonal pattern. The majority of Indonesian citizens are Muslim who celebrate Eid Al-Fitr in every year. The determination of Eid Al-Fitr does not follow the Gregorian calendar, but based on the Lunar calendar. The variation of the calendar is about the determination of Eid Al-Fitr which usually changed in the Gregorian calendar, because in the Gregorian calendar, Eid Al-Fitr day will advance one month in every three years. Data that contain seasonal and calendar variations can be analyzed using time series regression and Seasonal Autoregressive Integrated Moving Average Exogenous  (SARIMAX) models. The aims of this study are to obtain a better model between time series regression and SARIMAX and to forecast the number of Pandansimo beach visitors using a better model. The result of this study indicates that the time series regression model is a better model. The forecasting from January to December 2018 in succession are 13255, 6674, 8643, 7639, 13255, 8713, 22635, 13255, 13255, 9590, 8549, 13255 visitors.Keywords: time series regression, seasonal, calendar variations, SARIMAX, forecasting
Deteksi Krisis Keuangan di Indonesia Berdasarkan Indikator Nilai Tukar Riil Menggunakan Model SWARCH (2,3) Sugiyanto Sugiyanto; Etik Zukhronah; Dewi Retnosari
Indonesian Journal of Applied Statistics Vol 1, No 1 (2018)
Publisher : Universitas Sebelas Maret

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.13057/ijas.v1i1.24082

Abstract

The financial crisis that hit Asia in mid-1997 began with the financial crisis in Thailand which then spread to Indonesia. The impact of the financial crisis in Indonesia is so severe that a crisis detection system is needed. The financial crisis detection system can be done by simple monitoring of macroeconomic indicators such as real exchange rate. Excessive real exchange rate is predicted to have a great chance of crisis.The result shows that the real exchange rate from January 1990 to June 2013 has heteroscedasticity effect and there are structural changes so it can be modeled using SWARCH model (2,3) with ARMA (1.0) as conditional average model and ARCH (3) as model conditional variance. The inferred probabilities value of the SWARCH (2,3) model in February 1998 of 1 and July 1998 of 0.9968 over 0.5 indicates that the period is in a high volatile condition indicating a crisis. The SWARCH model (2.3) based on the real exchange rate indicator was able to capture the high volatile conditions in February 1998 and July 1998 as the impact of the 1997 Asian financial crisis.Keywords : Deteksi, krisis keuangan, nilai tukar riil, SWARCH
Implementasi Text Mining Pada Analisis Sentimen Pengguna Twitter Terhadap Marketplace di Indonesia Menggunakan Algoritma Support Vector Machine Dyah Auliya Agustina; Sri Subanti; Etik Zukhronah
Indonesian Journal of Applied Statistics Vol 3, No 2 (2020)
Publisher : Universitas Sebelas Maret

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.13057/ijas.v3i2.44337

Abstract

In this digital era, technology development has changed the behavior of society from buy offline to online. One of this behavioral changes is marked by the growth of global marketplace including in Indonesia. The big marketplaces in Indonesia that have received a lot of public response on social media are Tokopedia, Shopee, and Bukalapak. This research determines the public sentiment toward both the service and issues surrounding these three marketplaces on media social especially Twitter. Public opinion is classified into a positive or negative sentiment. The data used in this study is obtained from Twitter API (Application Programming Interface) using keyword Shopee, Tokopedia, and Bukalapak. Preprocessing texts are divided into five steps: cleansing, case folding, stemming, stopwords, and tokenizing. Training and testing data are divided using k-fold cross validation method, while visualization the characteristic of text is using word cloud. Research shows that public are posting tweet more positive sentiment than negative one. The perfomance of classification shows that the best G-mean and AUC value for Bukalapak testing data are 0.85 and 0.86 in the first fold. While the best G-mean and AUC value for Shopee testing data are 0.76 and 0.77 in the seventh fold and the best G-mean and AUC value for Tokopedia testing data are 0.82 and 0.83 in the sixth fold.Keywords : sentiment analysis, marketplace, support vector machine, twitter
Peramalan Banyaknya Pengunjung Pantai Glagah Menggunakan Metode Autoregressive Integrated Moving Average Exogenous (ARIMAX) dengan Efek Variasi Kalender Solikhah Novita Intan; Etik Zukhronah; Supriyadi Wibowo
Indonesian Journal of Applied Statistics Vol 1, No 2 (2018)
Publisher : Universitas Sebelas Maret

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.13057/ijas.v1i2.26298

Abstract

Glagah Beach is one of the tourist destinations in Kulon Progo Regency, Yogyakarta which is the most visited by tourists. Glagah Beach visitors data show  that in the month of Eid Al-Fitr there was a significant increase. This shows that there is an effect of the calendar variation of Eid al-Fitr. Therefore, it is needed a method that can be used to analyze time series data which contains effects of calendar variations, that is ARIMAX method. The aim of this study are to find the best ARIMAX model and to predict the number of visitors to Glagah Beach in the future. The result shows that the best ARIMAX model was ARIMAX([24],0,0). Forecasting from January to September 2016 are 37211, 21306, 26247, 24148, 28402, 29309, 81724, 26029, and 23688 visitors. Keywords: Glagah Beach; variation of calendar; Eid al-Fitr; ARIMAX.
Model Variasi Kalender pada Regresi Runtun Waktu untuk Peramalan Jumlah Pengunjung Grojogan Sewu Etik Zukhronah; Winita Sulandari; Isnandar Slamet; Sugiyanto Sugiyanto; Irwan Susanto
Indonesian Journal of Applied Statistics Vol 4, No 2 (2021)
Publisher : Universitas Sebelas Maret

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.13057/ijas.v4i2.47163

Abstract

Abstract. Grojogan Sewu visitors experience a significant increase during school holidays, year-end holidays, and also Eid al-Fitr holidays. The determination of Eid Al-Fitr uses the Hijriyah calendar so that the occurrence of Eid al-Fitr will progress 10 days when viewed from the Gregorian calendar, this causes calendar variations. The objective of this paper is to apply a calendar variation model based on time series regression and SARIMA models for forecasting the number of visitors in Grojogan Sewu. The data are Grojogan Sewu visitors from January 2009 until December 2019. The results show that time series regression with calendar variation yields a better forecast compared to the SARIMA model. It can be seen from the value of  root mean square error (RMSE) out-sample of time series regression with calendar variation is less than of SARIMA model.Keywords: Calendar variation, time series regression, SARIMA, Grojogan Sewu
Profile Of Tourist Visits In Sangiran Site Area, Sragen Regency Sri Subanti; Isnandar Slamet; Winita Sulandari; Etik Zukhronah; Sugiyanto Sugiyanto; Irwan Susanto
Journal of Mathematics and Mathematics Education Vol 11, No 1 (2021): Journal of Mathematics and Mathematics Education (JMME)
Publisher : Universitas Sebelas Maret

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20961/jmme.v11i1.52744

Abstract

Tourism activities are chain activities that involve various sectors and related institutions. Tourism is one of the fields in the lives of the people of Sragen Regency, which has become one of the priorities in development in recent years. This is based on the local government's awareness that tourism development can support regional income while at the same time increasing the standard of living of people living in tourist areas. For this reason, evaluating the impact of tourism in an area on the socioeconomic conditions of the community is an important thing to know. Sangiran is one of the most complete paleontological sites in Indonesia. Sangiran has also been designated as a cultural heritage by UNESCO on December 5, 1996, with the designation number C.593. The Sangiran site itself is located in Sragen Regency and Karanganyar Regency, Central Java Province. In general, the background of the population in the Sangiran Site area comes from the Javanese ethnic group, who in daily life communicate using the Javanese language. The Sangiran site has been known as an ancient human area from the Pleistocene. Not only storing archaeological wealth, but Sangiran is also very rich in artistic potential, both from prehistoric times and the present. Many things can be enjoyed in Sangiran. Apart from the museum that presents archaeological findings full of meaning, the public can also enjoy the local culture, including traditional arts, traditional ceremonies, local architecture, and folk crafts, adding value to the site. This study aims to determine the profile of tourist visits in the Sangiran Site Area. This study found that the factors that influence the number of visits to the Sangiran Site Area are travel costs, age, gender, and monthly income of respondents related to visiting the Sangiran Site Area. Furthermore, the factors that influence the respondents' willingness to accept ticket offers in the market hypothesis scenario in the Sangiran Site Area are the nominal price of the entrance ticket to a market hypothesis given to respondents, age, gender, monthly income of respondents, education level of respondents, and origin of the respondent.
Co-Authors Adi Wicaksono, Nanda Adigama Tri Nugraha Agung Setyabudi, Arriza Aji Susanto Aprilia, Nabila Churin Aryani, Fadhilatul Nida Atika Amalia Brilianto, Maximilianus Noel Dewi Retnosari Dina Rohmah Dyah Auliya Agustina Effendi, Arfiyansyah Rizki Fhadilla, Nahdatul Fransisca Trisnani Ardikha Putri Handajani, Sri Sulistijowati Hidayah, Nurrul Hizkia Yotant Pradana Husna Afanyn Khoirunissa Ilahi, Esa Permata Sari Putri Indra Raditya , Dionisius Irwan Susanto Irwan Susanto Isnaini, Bayutama Isnandar Slamet Isnandar Slamet Isnandar Slamet Isnandar Slamet Isnandar Slamet, Isnandar Kadar, Jimmy Abdel Kusuma, Erin Jihan Wahyu Martina Hilda Muhammad Zidni Subarkah Nafi'udin, Fauzi Nugraha, Titis Jati Pardede, Hilman Ferdinandus Pratiwi, Hasih pratiwi, hasih S Sugiyanto Solikhah Novita Intan Sri Subanti Sugianto Sugianto Sugiyanto - Sugiyanto Sugiyanto Sugiyanto Sugiyanto Sugiyanto Sugiyanto Sugiyanto, Sugiyanto Sulandari, Winita Supriyadi Wibowo Susilotomoa, Dhestahendra Citra Tito Tatag Prakoso Winita Sulandari Winita Sulandari Winita Sulandari Yuliana Susanti Yuliana Susanti, Yuliana Yulvia Fitri Rahmawati