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All Journal Media Statistika Statistika Jurnal Gaussian MIX : Jurnal Ilmiah Manajemen Indonesian Journal of Applied Statistics (JRAMB) Jurnal Riset Akuntansi Mercu Buana
Di Asih I Maruddani
Department Of Statistics, Faculty Of Science And Mathematics, Diponegoro University
Agriculture, Biological Sciences & Forestry Computer Science & IT Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance Environmental Science Industrial & Manufacturing Engineering Mathematics Social Sciences Other

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Journal : Jurnal Gaussian

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PENGUKURAN VALUE AT-RISK PADA PORTOFOLIO OBLIGASI DENGAN METODE VARIAN-KOVARIAN Khoirul Anam; Di Asih I Maruddani; Puspita Kartikasari
Jurnal Gaussian Vol 9, No 4 (2020): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v9i4.29012

Abstract

A bond is investment instrument that is basically a debt investment. The profit gained in investing will be comparable with the risk. An investor must pay attention to the size of the risk in choosing bonds. Value at-Risk (VaR) is a risk measurement instruments for measure the maximum loss of asset or portfolio over a spesicif time interval for a given confidence level under normal market conditions. The purpose of this paper is to explain VaR measurement on bond portfolio using variance-covariance method and prove that method is valid to estimate VaR’s model using likelihood ratio. Variance covariance method was chosen because giving lower estimate potential volatility of asset or portfolio than historical simulation and Monte-Carlo simulation. This article use goverment bonds with code FR0053, FR0061, FR0073, FR0074 and portfolio combination. Normality test of return asset and portfolio are required before calculating VaR values. The result of this paper for confidence level 95% showed that bond portfolio FR0053 with FR0061 have a smaller value with VaR values 2,28% of the total market value. It was concluded that VaR bond portfolio are smaller than VaR single asset. Verification test estimate that VaR values using variance-covariance is valid at confidence level 95%.
METODE BAYESIAN PADA SISTEM ANTREAN PELAYANAN MENGGUNAKAN GUI R (Studi Kasus: Antrean Pelayanan di Kantor Dinas Kependudukan dan Pencatatan Sipil Kota Semarang) Atikah Mufidah; Sugito Sugito; Di Asih I Maruddani
Jurnal Gaussian Vol 11, No 1 (2022): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v11i1.34002

Abstract

The increase population of Semarang City has given many kinds of problem from births, deaths, marriages and other important events. The change of population identity data causes the number of visitors to the Semarang City Dispendukcapil to increase so that the service system becomes busy. The study aims to determine whether the service system in the Dispendukcapil is good or not. This can be known by determining the distribution of arrival patterns and service patterns to obtain a queuing system model and system performance measures. In this study, the distribution of arrival patterns and service patterns is determined by finding the posterior distribution using the Bayesian method. The Bayesian method was chosen because it is able to combine the distribution of the sample in the current study with previous information for the same case. Posterior distribution can be obtained if it has elements, namely prior distribution and likelihood function. The distribution of arrival patterns and service patterns obtained from prior information, follows the Discrete Uniform and Log-Normal distribution. Based on the calculation and analysis of the posterior distribution, the service system model of the Dispendukcapil Semarang City is obtained, namely for the Customer Service counter, and  for the legalization counter and the population document service counter with a good service system.Keywords:Population, Dispendukcapil Semarang City, queue, Bayesian, prior distribution, posterior distribution, queuing system model, Beta, Gamma, Inverse Gamma.
PENENTUAN MODEL ANTREAN NON-POISSON DAN PENGUKURAN KINERJA PELAYANAN BUS RAPID TRANSIT TRANS SEMARANG (STUDI KASUS: SHELTER PEMBERANGKATAN BRT KORIDOR V) Purwati Ayuningtyas; Sugito Sugito; Di Asih I Maruddani
Jurnal Gaussian Vol 10, No 1 (2021): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v10i1.30932

Abstract

One of the queue systems that is often found  in daily life is the transportation service system, for example a queue system at the shelters departure of corridor V Bus Rapid Transit (BRT) Trans Semarang. Corridor V has three departure shelters, they are Shelter Victoria Residence, Shelter Marina, and Shelter Bandara Ahmad Yani. Corridor V was choosen, because of its high load factor on January to June 2019. Based on the observation, the service time at the departure shelter is usually longer than the normal shelter. This causes the rise of queue at the departure shelters. The queue at the departure shelters can hamper the arrival of BRT at the other shelters, so the application of the queue theory is needed to find out the extent of operational effectiveness at the departure shelters. The resulting queue model is the Non-Poisson queue model, the queue model for Victoria Residence Shelter: (DAGUM/GEV/1):(GD/∞/∞), Marina Shelter: (DAGUM/G/1):(GD/∞/∞), and Bandara Ahmad Yani Shelter: (GEV/GEV/1):(GD/∞/∞). Based on the value from measurement of the queue system performance, it can be conclude that the three departure shelters of corridor V BRT Trans Semarang have some optimal condition. Keywords: Shelter Departure of Corridor V, Non-Poisson Queueing Model, Dagum, Generalized Extreme Value, System Perfomance Measure  
ANALISIS METODE BAYESIAN PADA KINERJA SISTEM ANTREAN INSTALASI RAWAT JALAN RSUP DR. KARIADI (Studi Kasus: Poliklinik Mata, Poliklinik THT, Laboratorium, dan Pendaftaran) Eny Sulistyowati; Sugito Sugito; Di Asih I Maruddani
Jurnal Gaussian Vol 10, No 3 (2021): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v10i3.32804

Abstract

Indonesian people’s awareness of the importance of health has increased significantly so that it has a positive impact on the development of the health sector in Indonesia. The largest service facility in Central Java Province is RSUP Dr. Kariadi. The number of patients who came for an examination at Dr. Kariadi’s arrival rate is unpredictable. This can cause the service system to be busy and result in queues. The purpose of this study was to find out how the service system in Dr. Kariadi especially eye polyclinic, ENT polyclinic, laboratory, and registration. Queue theory has random arrivals and services. Bayesian method is used to analyze the queue system, that has been running for a long time by combining the prior and likelihood distribution of samples. Prior distribution is obtained from previous research, namely the Poisson distribution. Meanwhile, the likelihood of the sample obtained from the current study is the Poisson distribution and the Negative Binomial distribution. The resulting queue models for the eye polyclinic are (GAMM/BETA/4):(GD/∞/∞), ENT polyclinic (GAMM/GAMM/2):(GD/∞/∞), laboratory (GAMM/GAMM/4):(GD/∞/∞), and registration (GAMM/GAMM/3):(GD/∞/∞). Based on the results of the study, it was found that the patient care system at the eye polyclinic, ENT polyclinic, laboratory, and registration met steady state condition, meaning that the service system was running well. The value of the unemployment rate at the eye polyclinic is 96,36%; ENT polyclinic 31,86%; laboratory 34,87% and registration 32.85%. Thus, at the eye polyclinic, the unemployment rate is greater than the busy level. Meanwhile, in ENT polyclinics, laboratories, and registration is the opposite occurs. 
PENGUKURAN KINERJA PORTOFOLIO OPTIMAL CAPITAL ASSET PRICING MODEL (CAPM) DAN ARBITRAGE PRICING THEORY (APT) (Studi Kasus : Saham-saham LQ45) Dedi Baleo Pasaribu; Di Asih I Maruddani; Sugito Sugito
Jurnal Gaussian Vol 7, No 4 (2018): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v7i4.28870

Abstract

Investing is placing money or funds in the hope of obtaining additional or specific gains on the money or funds. The capital market is one place to invest in the financial field of interest to investor. This is because the capital market gives investor the freedom to choose securities traded in the capital market in accordance with the wishes of investor. Investor are included in risk averter, that means investor will always try to avoid risk. To avoid risk, investor try to diversify their investment. Diversification concept commonly used is portfolio. To maximize the return to be earned, the investor will invest his funds into several stocks in order to earn a greater profit. Capital Asset Pricing Model (CAPM) is a balance model that describes the relation of a risk with return more simply because it uses only one variable to describe the risk. Arbitrage Pricing Theory (APT) is a balance model that used many risk variables to see the relation of risk and return. With both models will be obtained a portfolio with each constituent stock is four stocks selected from 45 stocks in the LQ45 index. To find out which portfolio is the best performed a performance analysis using the Sharpe index. From the measurement result, it is found that the best portfolio is the CAPM portfolio with composite stock is PTBA with investment weight of 0.467%, BUMI with investment weight of 12.855%, ANTM with investment weight of 53.077% and PPRO with investment weight of 33.601%. Keywords: LQ45, portfolio, Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory                       (APT), Sharpe Index 
ANALISIS SENTIMEN GOJEK PADA MEDIA SOSIAL TWITTER DENGAN KLASIFIKASI SUPPORT VECTOR MACHINE (SVM) Nur Fitriyah; Budi Warsito; Di Asih I Maruddani
Jurnal Gaussian Vol 9, No 3 (2020): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v9i3.28932

Abstract

Appearance of PT Aplikasi Karya Anak Bangsa or as known as Gojek since 2015 give a convenience facility to people in Indonesia especially in daily activities. Sentiment analysis on Twitter social media can be the option to see how Gojek users respond to the services that have been provided. The response was classified into positive sentiment and negative sentiment using Support Vector Machine method with model evaluation 10-fold cross validation. The kernel used is the linear kernel and the RBF kernel. Data labeling can be done with manually and sentiment scoring. The test results showed that the RBF kernel gets overall accuracy and the highest kappa accuracy on manual data labeling and sentiment scoring. On manual data labeling, the overall accuracy is 79.19% and kappa accuracy is 16.52%. While the labeling of data with sentiment scoring obtained overall accuracy of 79.19% and kappa accuracy of 21%. The greater overall accuracy value and kappa accuracy obtained, the better performance of the classification model. Keywords: Gojek, Twitter, Support Vector Machine, overall accuracy, kappa accuracy
EXPECTED SHORTFALL DENGAN EKSPANSI CORNISH-FISHER UNTUK ANALISIS RISIKO INVESTASI SEBELUM DAN SESUDAH PANDEMI COVID-19 DILENGKAPI GUI R Reyuli Andespa; Di Asih I Maruddani; Tarno Tarno
Jurnal Gaussian Vol 11, No 2 (2022): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v11i2.35457

Abstract

In financial analysis, risk measurement is critical. Stocks are a sort of financial asset investment that is in high demand by investors. Expected Shortfall is one of the strategies used to assess stock investing risk (ES). ES is a risk metric that considers losses in excess of the Value at Risk (VaR). Cornish-Fisher Expansion (ECF) is used to calculate ES with data that deviates from normality and takes into account skewness and kurtosis values. This study used data from the closing price of Sri Rejeki Isman Tbk (SRIL) shares before and during the Covid-19 Pandemic (14 January 2019 to 18 May 2021), with non-normally distributed returns. According to the calculations, the risk that investors will bear using the ES ECF value for the next day before the Covid-19 Pandemic is 1.1752 and after the Covid-19 Pandemic is 3.3177% at a 95% confidence level. The risk that investors will bear for the next day before the Covid-19 Pandemic is 5.8928%, and after the Covid-19 Pandemic is 10.3703%, based on a 99% confidence level. The findings of the study reveal that the higher the amount of trust, the higher the risk.
PEMBENTUKAN PORTOFOLIO SAHAM OPTIMAL DENGAN MEAN ABSOLUTE DEVIATION PADA DATA SAHAM JAKARTA ISLAMIC INDEX Alifia Hana Linda Rachmawati; Mustafid Mustafid; Di Asih I Maruddani
Jurnal Gaussian Vol 11, No 2 (2022): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v11i2.35471

Abstract

In 2017 to 2020 the Jakarta Islamic Index (JII) showed a positive trend and was quite stable compared to the LQ45 index. The selection of the JII stock index in this study is intended to obtain maximum profits. Investors are expected to create a series of portfolios to get maximum profit. One of the ways to identify stocks for portfolio formation is to use factor analysis. Factor analysis is used to summarize a large number of variables into new, smaller factors. This new factor is called the portfolio. The Mean Absolute Deviation (MAD) method is used for the formation of an optimal portfolio as well as an improvement on the Markowitz method in terms of non-linear (quadratic) mathematical models. The MAD method is the mean of the absolute value of the deviation between the realized return and the expected return. The optimization technique used in the MAD portfolio is the simplex method. Optimizing the objective function by constraining the set of constraints on the simplex method is done by forming a simplex table. Based on the processing using the simplex method, the investment weight for each of the stocks that make up the first portfolio is 30% CPIN shares; 29.23% of JPFA's shares; 10.77% shares of SMGR; and 30% shares in UNVR. Meanwhile, the investment weight of the constituent stocks for the second portfolio is 30% ACES shares; 10% of ERAA's shares; 30% of INCO's shares; 30% of PGAS shares; and 0% WIKA shares. The results of portfolio performance evaluation show that portfolio 2 is better than portfolio 1, by looking at the Sharpe Index for portfolio 2 of 0.0135629 and portfolio 1 of -0.0281177.
PENGARUH KONVEKSITAS TERHADAP SENSITIVITAS HARGA JUAL DAN DELTA-NORMAL VALUE AT RISK (VAR) PORTOFOLIO OBLIGASI PEMERINTAH MENGGUNAKAN DURASI EKSPONENSIAL Putri Devitasari; Di Asih I Maruddani; Puspita Kartikasari
Jurnal Gaussian Vol 11, No 4 (2022): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.11.4.532-541

Abstract

Bonds are one of the investment instruments issued by the issuer as proof of debt.  Bond investment is relatively safe, but it is possible for investors to experience losses. Investors should always consider that trading a bond is always risky. One of the important bond risks is interest risk. The concept of duration can only explain well for small changes in interest rates but cannot explain well for large changes in interest rates. The estimation of the duration concept will have a larger calculation error with the greater changes in market interest rates that occur so it is necessary to add convexity to improve accuracy. This study aims to estimate the risk of government bonds based on the estimation of bond prices with the effect of convexity. Several studies have shown that exponential duration can predict bond prices more accurately than Macau duration. Exponential duration with convexity will be applied in this study to measure the accurate value of bond prices caused by changes in interest rates. The Delta-Normal VaR portfolio method is used to calculate risk based on estimated bond prices in the form of a portfolio. The formation of this portfolio aims to reduce the losses suffered by investors. This method is applied to four Indonesian government bonds with codes FR0056, FR0059, FR0074, and FR0080. The results showed that the bonds portfolio FR0056 and FR0074 had the smallest risk compared to other portfolios with a weight proportion of 15% for bonds FR0056 and 85% for bonds FR0074.
PENGUKURAN NILAI RISIKO PORTOFOLIO SAHAM PADA INDEKS LQ45 DI BIDANG TELEKOMUNIKASI MENGUNAKAN METODE KOPULA CLAYTON Salsabila Syifa Binsanno; Sudarno Sudarno; Di Asih I Maruddani
Jurnal Gaussian Vol 12, No 1 (2023): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.12.1.81-91

Abstract

The characteristic of copula is non strict on certain distribution assumptions, can explain nonlinier relationship, and easily construct distribution through the marginals that do not need to come from the same distribution family. Copula will be useful for stock data that has price charts fluctuate rapidly and risk will always follow in investing. The relation between risk and copula in this study is to calculate the risk value in the stock portfolio using VaR with the generation of Monte Carlo simulation through Clayton copula on four companies engaged in telecommunications sector, namely EXCL.JK (PT XL Axiata Tbk), TLKM.JK (PT Telekomunikasi Indonesia Tbk), TOWR.JK (PT Sarana Menara Nusantara Tbk), and TBIG.JK (PT Tower Bersama Infrastructure Tbk) for period 2 January 2020 to 31 December 2021. This study resulted that the selected stock portfolios are EXCL and TBIG which had the highest risk value of -0,062741 at 99% confidence level, so when an investor will invest Rp100.000.000,00 the maximum estimated risk is Rp.6.274.100 within one day.
Co-Authors Abdul Hoyyi Abdurakhman Abdurakhman Agus Rusgiyono Ahmad Badruttamam Alifia Hana Linda Rachmawati Atikah Mufidah Budi Warsito Dede Andrianto Dedi Baleo Pasaribu Delsy Nurutsaniyah Desi Nur Rahma Diah Safitri Dina Rahma Prihatiningsih Dwi Harti Pujiana Dwi Ispriyanti Eka Anisha Eny Sulistyowati Fatiya Nur Umma Fredy Yoseph Marianto Hanik Malikhatin Hasbi Yasin Hasbi Yasin Henny Setyowati Juria Ayu Handini Khoirul Anam Lina Tanasya Maria Odelia Mas'ad Mas'ad Meiliawati Aniska Mia Anastasia Sinulingga Mustafid Mustafid Mutik Dian Prabaning Tyas Nidaul Khoir Nur Fitriyah Nur Khofifah Purwati Ayuningtyas Puspita Kartikasari Puspita Kartikasari Putri Devitasari Reno Penggalih Surya Wardhani Reyuli Andespa Ria Epelina Situmorang Rita Rahmawati Rukun Santoso Salsabila Syifa Binsanno Setiani Setiani Sudarno Sudarno Sugito Sugito Suparti Suparti Tarno Tarno Tatik Widiharih Trimono Trimono Trimono, Trimono Tutut Dewi Astuti Tutut Dewi Astuti Yustian Dwi Saputra