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All Journal IAES International Journal of Artificial Intelligence (IJ-AI) Media Statistika Jurnal Pendidikan dan Pembelajaran Khatulistiwa (JPPK) Jurnal Sains dan Seni ITS IPTEK Journal of Proceedings Series CAUCHY: Jurnal Matematika Murni dan Aplikasi Journal of Natural A Jurnal Tata Kota dan Daerah International Journal of Advances in Intelligent Informatics Prosiding Seminar Matematika dan Pendidikan Matematik ELINVO (Electronics, Informatics, and Vocational Education) QALAMUNA: Jurnal Pendidikan, Sosial, dan Agama BAREKENG: Jurnal Ilmu Matematika dan Terapan Journal of Islamic Monetary Economics and Finance JPEK (Jurnal Pendidikan Ekonomi dan Kewirausahaan) Musamus Journal of Physical Education and Sport (MJPES) Infotekmesin Inferensi Infotek : Jurnal Informatika dan Teknologi Afeksi: Jurnal Penelitian dan Evaluasi Pendidikan Proceeding ISETH (International Summit on Science, Technology, and Humanity) Prosiding Konferensi Nasional Penelitian Matematika dan Pembelajarannya Sewagati PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON DATA SCIENCE AND OFFICIAL STATISTICS Riyahuna: Jurnal Pendidikan Bahasa Arab Jurnal Terapan Pendidikan Dasar dan Menengah
Heri Kuswanto
Departemen Statistika, Institut Teknologi Sepuluh Nopember (ITS)
Arts Humanities Civil Engineering, Building, Construction & Architecture Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Environmental Science Languange, Linguistic, Communication & Media Mathematics Mechanical Engineering Medicine & Pharmacology Physics Public Health Social Sciences Transportation Other

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Modeling Inflation Volatility Using ARIMAX-GARCH Aryani, Sri; Kuswanto, Heri; Suhartono, S
Proceeding ISETH (International Summit on Science, Technology, and Humanity) 2015: Proceeding ISETH (International Conference on Science, Technology, and Humanity)
Publisher : Universitas Muhammadiyah Surakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.23917/iseth.2386

Abstract

Forecasting inflation is necessary as a basis for making decisions and high quality good planning in economic development in Indonesia particularly for the government and businessmen. The forecasting generally uses time series data. However, there is a time series data which is difficult to obtain stationary, i.e., the variance on financial time series data such as the stock price index, interest rates, inflation, exchange rates, and etc. It is mainly caused by the inconsistency of variance (heteroscedasticity). This study developed Autoregressive Integrated Moving Average (ARIMA) model using exogenous factors, namely the price of oil and outlier detection to forecast inflation. Another modeling which is expected to solve the problem of heteroscedasticity is a Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. In this study, the asymmetric GARCH of Glosten Jagannathan Runkle-GARCH (GJR-GARCH) was carried out. This model could accommodate the volatility in the form of negative shocks that can leverage the effect. The data used in this study was the Inflation rate of Indonesia and world oil prices in January 1991 to December 2014 respectively. The results showed that ARIMAX-GJR GARCH is the best model to forecast national inflation volatility.
The Comparison of Classical and Bayesian Bivariate Binary Logistic Regression Prediction for Unbalanced Response (Case Study: Customers of Antivirus Software 'X' Company) Susila, Muktar Redy; Kuswanto, Heri; Fithriasari, Kartika
Proceeding ISETH (International Summit on Science, Technology, and Humanity) 2015: Proceeding ISETH (International Conference on Science, Technology, and Humanity)
Publisher : Universitas Muhammadiyah Surakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.23917/iseth.2394

Abstract

The purpose of this study was to compare the performance of classical bivariate binary logistic regression and Bayesian bivariate binary logistic regression. The sizes of sample used in research were small and large sample. The size of the small sample was 200 and the large sample was 10000 samples. Parameter estimation method that often used in logistic regression modeling is maximum likelihood which is called the classical approach. However, using a maximum likelihood parameter estimation has several weaknesses. When the number of sample is small and the dependent variable is unbalanced, bias parameters are frequently obtained. Nevertheless, when the sample size is too large, it has propensity to reject H0. As the solution, the use of Bayesian approach to overcome the small sample size problem and unbalanced dependent variable is suggested. The case study carried out in this research was customer loyalty of 'X' Company. This study used two dependent variables, i.e. Customer Defections and Contract Answer. Initial information on the number of consumers who defected and not defected was unbalanced, likewise for the Contract Answers. Based on the comparison of classical and Bayesian bivariate binary logistic regression prediction, Bayesian method was evidenced to yield better performance compared to classical method.
Co-Authors A.A. Ketut Agung Cahyawan W Adatul Mukarromah Ahmad Fathoni Ahmad Shofiyuddin Ichsan Ani Budi Astuti Ary Miftakhul Huda Bani Unggul, Didik Beben Sutara, Beben Dea Astri Titi Dedy Dwi Prastyo Dwi Rantini Effendi, Magdalena Eka Supriatna Ekarini, Fitria Faiqah, Elok Farida Ariany Fatul, Fitasari Fithriasari, Kartika Fitri Ayu Kusumawati, Fitri Ayu Hady Suryono Hariadi Hariadi Hia, Supriadi Idrus Syahzaqi Indah Idamawarti, Itamara Irhamah Irhamah - Jamaluddin Jamaluddin Kinanti Hanugera Gusti Koesniawanto, Moch. Made Ayu Dwi Octavanny Marsono Marsono Moch. Koesniawanto Mohammad Hatta Rafsanjani Muhammad Hisyam Lee Munjahid Nitivijaya, Maulidiah Novi Ajeng Salehah Nur Iriawan Paramita, NLP Satyaning Pradnya Pramono Dwi Utomo Puspita Kartikasari Qori’atunnadyah, Marita Raditya Sukmana Rahmawati, Hasri Rouhan, Asva Abadila Rumaisa Kruba S Suhartono, S Salafiyah Isnawati Sediono, Sediono Setiawan Setiawan Sri Aryani, Sri Suhartono Suhartono Suhartono Suhartono Suhartono Suhartono Suhartono Suhartono Suryansah Susila, Muktar Redy Sutikno Sutikno Ulfa Siti Nuraini Widhianingsih, Tintrim Dwi Ary Wiwiek Setya Winahju