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Journal : E-Jurnal Matematika

PERAMALAN DURASI ETHEREUM MENGGUNAKAN MODEL AUTOREGRESSIVE CONDITIONAL DURATION I WAYAN SUMARJAYA; RENOVAR JOJOR DELIMA SIMANULLANG; RATNA SARI WIDIASTUTI
E-Jurnal Matematika Vol. 14 No. 3 (2025)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2025.v14.i03.p484

Abstract

Forecasting is the process of estimating future events using past data. Financial time series forecasting often prioritizes stock price variables. Apart from the stock price variable, inter-transaction time or duration is also an important variable to predict, because the timing of changes in financial prices cannot be predicted. Duration modeling and forecasting can be done using the autoregressive conditional duration (ACD) model. In this research, modeling and forecasting using the ACD model was carried out on Ethereum. This research aims to predict the duration of Ethereum in order to help traders know the time needed to reach the next price change. Several ACD models with four distributions, i.e., exponential, Weibull, Burr, and generalized gamma were fit to the Ethereum duration. The research results suggest that the Burr-ACD model produces the smallest AIC value compared to other distributed ACD models. However, the forecast results using the Burr-ACD models show increasing duration and hence are less accurate. The generalized gamma-ACD (2,2) model was then chosen as an alternative for forecasting Ethereum duration, showing that Ethereum duration forecast results are less than one second, which indicates the high frequency of transactions that occur on Ethereum.
PERAMALAN PENGGUNAAN LISTRIK DI PROVINSI BALI MENGGUNAKAN METODE ARIMA I GEDE GANA ARIAWAN; I WAYAN SUMARJAYA; MADE SUSILAWATI
E-Jurnal Matematika Vol. 14 No. 3 (2025)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2025.v14.i03.p487

Abstract

This study aims to forecast electricity consumption in the Province of Bali using the ARIMA (Autoregressive Integrated Moving Average) method. The forecasting process is based on monthly electricity usage data spanning from January 2015 to June 2024. The initial analysis revealed a significant upward trend, with a notable decline in usage during 2020, coinciding with the COVID-19 pandemic. To address the issue of non-stationarity in the data, a differencing process was applied until stationarity was achieved, as confirmed by the Augmented Dickey-Fuller (ADF) test. Model identification was conducted using ACF and PACF plots, and several ARIMA models were evaluated based on their Akaike Information Criterion (AIC) values. The ARIMA(0,1,1) model was selected as the most suitable model due to its lowest AIC value and its compliance with diagnostic assumptions, including uncorrelated residuals (verified by the Ljung-Box test) and normally distributed residuals (confirmed by the Shapiro-Wilk test). The forecasting results demonstrated that the selected model provides stable predictions for the subsequent 12 months. This study is expected to contribute to effective planning and management of electricity demand in the Bali region.
ESTIMASI VALUE AT RISK PORTOFOLIO VALUTA ASING PADA KONDISI PANDEMI COVID-19 MENGGUNAKAN COPULA ANJAR ANGGRAINI; KOMANG DHARMAWAN; I WAYAN SUMARJAYA
E-Jurnal Matematika Vol. 14 No. 4 (2025)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2025.v14.i04.p490

Abstract

The Coronavirus disease (Covid-19) has been officially declared a pandemic by the World Health Organization (WHO). This pandemic affects not only the health of the population but also weakens the rupiah exchange rate. Fluctuations in exchange rate changes can affect the investment value, so investors need to take risk measurements. This study discusses the measurement of portfolio loss risk which is composed of a combination of USD, JPY, GBP, and EUR currency exchange rates using the value at risk (VaR) risk measure. Dependent structure analysis was carried out using the Gumbel, Clayton, and Frank copulas approach from the Archimedean copula family. The results obtained from this study are based on portfolio calculations composed of USD-GBP, JPY-GBP, and EUR-USD currency exchange rates at , , and  confidence levels in the next one-day period. The highest VaR of  is achieved by the EUR-USD portfolio at a  confidence level using the Gumbel copula. Meanwhile, the lowest estimated VaR of  is achieved by the EUR-USD portfolio at a  confidence level using the Gumbel copula.
Co-Authors AA Sudharmawan, AA ADE KUSUMA DEWI Ade Widyaningsih ALEXANDER HIRO WIBISONO ANAK AGUNG ISTRI AGUNG CANDRA ISWARI ANJAR ANGGRAINI AULIA ATIKA PRAWIBTA SUHARTO Aulia Wicaksono Chairun Nisa Chrisna Anzella Jacob COKORDA BAGUS YUDISTIRA DESAK AYU WIRI ASTITI Desak Putu Eka Nilakusmawati Dewa Ken Budiputra DIAN RAHMAN EKA N. KENCANA FITRI ANANDA DITA SARASWITA G. K. GANDHIADI GILANG BIMASAKTI ANDHIKA GUSTI AYU PUTU YULIANDARI HERLINA HIDAYATI HIRZI FIRDAUSI I GEDE DICKY ARYA BRAMANTA I GEDE GANA ARIAWAN I GEDE MAHA HENDRA PRATAMA I Gusti Ayu Made Srinadi I GUSTI AYU MEIGAYONI LESTARI I Ketut Darmana I KETUT PUTRA ADNYANA I KOMANG GDE SUKARSA I MADE BUDIANTARA PUTRA I MADE PRABA ESHA SUKSEMAWAN I Nyoman Sama I Nyoman Widana I Putu Eka Nila Kencana I PUTU GEDE DIAN GERRY SUWEDAYANA I Wayan Suirta IRENE MAYLINDA PANGARIBUAN JUITA HARYATI SIDADOLOG JULIANTARI JULIANTARI KADEK DITA SUGIARI Kartika Sari KASTIN DWILEN PONG SUMAE Ketut Jayanegara KHOSYI RUKITO KOMANG CANDRA IVAN Komang Dharmawan KOMANG KOKOM SUCAHYATI DEWI P Luh Devi Maharani Mecker LUH GEDE UDAYANI LUH HENA TERECIA WISMAWAN PUTRI LUH PUTU ARI DEWIYANTI LUH PUTU IDA HARINI MADE NITA DWI SAWITRI MADE NONIK PRAMESTI KARANA Made Susilawati MAHMUDATUL AQIBAH Marcellina Layata Margaretha Ratih Dyah Novitasari MIRA AYU NOVITA SARI Mulyani, Luh Sukma NATASYA WIDIA PUTRI NI KADEK JULIARINI Ni Kadek Trisnawati NI KADEK YUNI DEWIANTARI Ni Ketut Linda Aryani Ni Ketut Tari Tastrawati NI KOMANG DEBY ARIANI Ni Luh Putu Ayu Fitriani Ni Luh Putu Suciptawati Ni Made Asih NI MADE LASTI LISPANI NI MADE RARA KESWARI Ni Made Sri Wahyuni NI MADE SURYA JAYANTI NI PUTU AYU DEWI CAHYANTARI NI PUTU DEVIYANTI Ni Putu Manik Maharani NI PUTU MIRAH SRI WAHYUNI NI PUTU NIA IRFAGUTAMI NI PUTU SRI YULI ARTINI NI PUTU WIDYA ISWARI DEWI NI PUTU YULIKA TRISNA WIJAYANTI NI WAYAN DIAH SIHMAWATI Ni Wayan Merry Nirmala Yani NI WAYAN UCHI YUSHI ARI SUDINA NOVIAN ENDI GUNAWAN NUR FAIZA NURMA ALIYUWANINGSIH NYOMAN KRISHNA PRATIWI DANGIN PUTU AMANDA SETIAWANI PUTU EKA ARIWIJAYANTHI PUTU GDE BUDHA WIRYADANA RAMADHAN LENGGU RAMLI RATNA SARI WIDIASTUTI RENALDO EVIPANIA RENOVAR JOJOR DELIMA SIMANULLANG SITI RAHAYU NINGSIH Stefani Putri Wulandari TJOK GDE SAHITYAHUTTI RANANGGA Tjokorda Bagus Oka TRISNA RAMADHAN ULYATIL AENI UTAMI, NI PUTU MEILING VINSENTIA REVICA BELLA ROSSARY WILDAN FATTURAHMAN MUJTABA WIMAS ASTARI YUDA