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All Journal International Journal of Business, Economics, and Social Development International Journal of Research in Community Services International Journal of Quantitative Research and Modeling Jurnal Matematika Integratif

Alit Kartiwa

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Author-ID : 2858894

Humanities Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Environmental Science Languange, Linguistic, Communication & Media Mechanical Engineering Physics Social Sciences Transportation Other

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Articles

THE GARCH MODEL VOLATILITY OF SHARIA STOCKS ASSOCIATED CAUSALITY WITH MARKET INDEX Endang Soeryana Hasbullah; Endang Rusyaman; Alit Kartiwa
International Journal of Quantitative Research and Modeling Vol 1, No 1 (2020)
Publisher : Research Collaboration Community (RCC)

The purpose of this paper is to examine the volatility of Islamic stocks related to the causality of the composite stock price index (CSPI). The aim is to investigate the causality of several levels of stock returns with the movement of the CSPI, and determine its volatility as a measure of risk. To determine the causality relationship is done by using the granger causality test method, with Vector Autoregressive (VAR) modeling. Whereas to determine the volatility is done using the Generalized Autoregressive Conditional Heteroscedastisiy (GARCH) model approach. The results of the causality test show that there is a direct relationship that affects and is influenced by the CSPI, and the relationship that affects each other between the company's stock market and the movement of the CSPI. While the volatility follows the GARCH model (1, 1). Based on the results of this study are expected to be used as consideration in making investment decisions in the analyzed stocks.

A GARCH APPROACH TO VaR CALCULATION IN FINANCIAL MARKET Nurfadhlina Abdul Halim; Endang Soeryana; Alit Kartiwa
International Journal of Quantitative Research and Modeling Vol 1, No 1 (2020)
Publisher : Research Collaboration Community (RCC)

Value at Risk (VaR) has already becomes a standard measurement that must be carried out by financial institution for both internal interest and regulatory. VaR is defined as the value that portfolio will loss with a certain probability value and over a certain time horizon (usually one or ten days). In this paper we examine of VaR calculation when the volatility is not constant using generalized autoregressive conditional heteroscedastic (GARCH) model. We illustrate the method to real data from Indonesian financial market that is the stock of PT. Indosat Tbk.

Abnormal Portfolio Asset Allocation Model: Review Nurfadhlina bt Abdul Halima; Dwi Susanti; Alit Kartiwa; Endang Soeryana Hasbullah
International Journal of Business, Economics, and Social Development Vol 1, No 1 (2020)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijbesd.v1i1.18

It has been widely studied how investors will allocate their assets to an investment when the return of assets is normally distributed. In this context usually, the problem of portfolio optimization is analyzed using mean-variance. When asset returns are not normally distributed, the mean-variance analysis may not be appropriate for selecting the optimum portfolio. This paper will examine the consequences of abnormalities in the process of allocating investment portfolio assets. Here will be shown how to adjust the mean-variance standard as a basic framework for asset allocation in cases where asset returns are not normally distributed. We will also discuss the application of the optimum strategies for this problem. Based on the results of literature studies, it can be concluded that the expected utility approximation involves averages, variances, skewness, and kurtosis, and can be extended to even higher moments.

The Estimated Value of Losses and Insurance Due to Citarum River Flooding Iin Irianingsih; Dwi Susanti; Alit Kartiwa; Forman Ivana S.S.S.
International Journal of Business, Economics, and Social Development Vol 1, No 1 (2020)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijbesd.v1i1.14

Flooding in Citarum always happens in Bandung District which causes loss of property, household damage, diseases moreover decease. The government provides aid for flood victims, but the help is not cover losses. In this circumstance, people need insurance. This study aims to set up flood insurance based on economic conditions, areas, and losses due to flooding. To find out the conditions, interviewed the village chief of Baleendah. The analytical methods used are linear regression analysis and analysis method mix. Linear regression analysis was used to estimate flood losses that will serve as the sum insured in the form of insurance products. Analysis mixture consisting of identification areas, conditions, and alternative insurance models used to establish the right flood insurance for Baleendah. Results show the estimation of flood losses and flood insurance appropriate to the condition of Baleendah.

Application of Exogenous Liquidity Risk Models to Analyze Single Assets Yasir Salih; Riaman Riaman; Komar Komar; Alit Kartiwa
International Journal of Business, Economics, and Social Development Vol 1, No 1 (2020)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijbesd.v1i1.15

Exogenous liquidity risk measurement is a measurement of liquidity risk that affects all market participants and is not affected by the actions of any other actors. Exogenous liquidity risk measurement is usually called the Cost of Liquidity (COL). The main problem is how the level of liquidity of one currency against other currencies and the effect of liquidity risk on VaR (Value at Risk) on a single asset. This thesis examines the importance of liquidity risk on a single asset. Combining basic VaR and liquidity risk will result in more effective calculations. The model used is to add the basic VaR value with the Cost of Liquidity (COL) or also called Liquidity VaR (L-VaR). The calculation results show the different effects of liquidity for each country's currency. Indonesian Rupiah (IDR) is the currency that has the highest liquidity component compared to the Japanese Yen (JPY) and the Thai Baht (THB). The lower the liquidity component of a currency, the currency is very liquid, and the Japanese Yen (JPY) is the most liquid currency compared to the Indonesian Rupiah (IDR) and the Thai Baht (THB).

Guidance on Making Compost from Organic Waste in Jatimukti Village, Jatinangor District, Sumedang Regency, West Java, Indonesia Mochamad Suyudi; Alit Kartiwa
International Journal of Research in Community Services Vol 1, No 3 (2020)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijrcs.v1i3.44

Compost is a fertilizer that is produced from the decomposition of organic matter by active microorganisms. Jatimukti Village, Jatinangor Subdistrict, Sumedang Regency is a village that produces a lot of waste. Based on observations, the village looks suitable and has the potential to be introduced to the type of compost as organic material in farmers’ gardens. This service aims to foster and direct the people of Jatimukti Village community to have the skills to make compost from organic waste. Community service is carried out through socialization and training on composting. The demonstration of composting is done by using the composting facility that has been prepared. This dedication involves lecturers and students of the Department of Mathematics, Universitas Padjadjaran, as well as the people of Jatimukti Village. The results achieved were made of composters and compost made together, and the ways of making compost by utilizing waste in the community. After being given good and proper waste management training, the community can overcome the surrounding waste problems, and it is hoped that the community can evaluate the management that has been carried out before.

Penyelesaian Metode Dekomposisi Benders pada Model Optimisasi Robust Masalah Mixed Integer Linear Programming Dua Tahap yang melibatkan Variabel Recourse Diah Chaerani; Heri Setiawan; Alit Kartiwa
Jurnal Matematika Integratif Vol 16, No 1: April 2020
Publisher : Department of Matematics, Universitas Padjadjaran

Optimisasi Robust adalah metode untuk menyelesaikan masalah dengan suatu ketidaktentuan data. Pendekatan robust mempunyai dua kategori, yaitu singgle-stage dan two-stage. Pendekatan robust pada two-stage masalah terdiri dari dua tahap, tahap pertama menentukan solusi optimisasi robust untuk masalah linear dengan variabel tahap pertama mixed integer dan variabel recourse tahap kedua yang kontinu. Pada penelitian ini dibahas model optimisasi robust untuk masalahmixed-integer linear programming two-stage yang melibatkan ketidaktentuan pada kendala, tepatnya pada vektor ruas kanan. Penyelesaian dilakukan menggunakan Metode Bender’s Decomposition. Simulasi numerik dengan menggunakan Software Maple.

Co-Authors Diah Chaerani Dwi Susanti Endang Rusyaman Endang Soeryana Endang Soeryana Hasbullah Forman Ivana S.S.S. Heri setiawan Iin Irianingsih Komar Komar Mochamad Suyudi Munadi Munadi Nurfadhlina Abdul Halim Nurfadhlina bt Abdul Halima Riaman Riaman Yasir Salih

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