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All Journal Jurnal Ilmu Pertanian Indonesia Jurnal Manajemen dan Organisasi FORUM STATISTIKA DAN KOMPUTASI ComEngApp : Computer Engineering and Applications Journal CAUCHY: Jurnal Matematika Murni dan Aplikasi TELKOMNIKA (Telecommunication Computing Electronics and Control) Jurnal Edukasi dan Penelitian Informatika (JEPIN) JUITA : Jurnal Informatika Indonesian Journal of Biotechnology Scientific Journal of Informatics BAREKENG: Jurnal Ilmu Matematika dan Terapan Indonesian Journal of Chemistry JTAM (Jurnal Teori dan Aplikasi Matematika) Jambura Journal of Mathematics ComTech: Computer, Mathematics and Engineering Applications Jurnal Jamu Indonesia Journal of Enterprise and Development (JED) ARRUS Journal of Mathematics and Applied Science Prosiding Seminar Nasional Official Statistics Xplore: Journal of Statistics PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON DATA SCIENCE AND OFFICIAL STATISTICS Scientific Journal of Informatics Indonesian Journal of Jamu Indonesian Journal of Statistics and Its Applications Limits: Journal of Mathematics and Its Applications
Farit Mochamad Afendi
Biopharmaca Research Center, Bogor Agricultural University Department Of Statistic, Faculty Of Mathematics And Natural Sciences, Bogor Agricultural University
Agriculture, Biological Sciences & Forestry Humanities Biochemistry, Genetics & Molecular Biology Chemical Engineering, Chemistry & Bioengineering Chemistry Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Health Professions Immunology & microbiology Materials Science & Nanotechnology Mathematics Mechanical Engineering Medicine & Pharmacology Physics Social Sciences Transportation Other

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Analysis Of Stock Market, Mining Commodity, Exchange Rate, And Energy Sector Stock Index Using Vector Error Correction Model: Analisis Bursa Saham, Komoditas Pertambangan, Kurs, Dan Indeks Saham Sektor Energi Menggunakan Vector Error Correction Model Melati; Silvianti, Pika; Afendi, Farit Mochamad
Indonesian Journal of Statistics and Applications Vol 7 No 1 (2023)
Publisher : Statistics and Data Science Program Study, IPB University, IPB University, in collaboration with the Forum Pendidikan Tinggi Statistika Indonesia (FORSTAT) and the Ikatan Statistisi Indonesia (ISI)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29244/ijsa.v7i1p44-55

Abstract

Energy Sector is one of the sectors that has a significant impact on the overall economic growth of a country. Economic growth is always linked to energy consumption, as increasing economic development leads to higher energy demand. Therefore, this study aims to analyze the factors influencing the energy sector stock index in Indonesia using Vector Error Correction Model (VECM). The data used include the energy sector stock index, crude oil prices, coal prices, gas prices, Nikkei Index, Shanghai Index, Dow Jones Index, and exchange rates from January 2021 to March 2023. VECM analysis results indicate that in the short term, crude oil prices and coal prices have a significant impact on the energy sector stock index. In the long term, significant factors are coal prices, gas prices, Nikkei Index, and exchange rates. The Impulse Response Function (IRF) analysis reveals that shocks to the energy sector stock index, crude oil prices, and coal prices can increase the energy sector stock index. Conversely, shocks to the Nikkei Index can decrease the energy sector stock index. The Forecast Error Variance Decomposition (FEVD) results demonstrate that the contributions of the energy sector stock index, crude oil prices, coal prices, and gas prices are significant in explaining the behavior of changes in the energy sector stock index.
Study of Spatial Autoregressive Regression With Heteroskedasticity Using the Generalized Method of Moments and Bayesian Approach : Kajian Regresi Spasial Autoregresif dengan Heteroskedastik Menggunakan Generalized Method of Moments dan Pendekatan Bayes Koesnandy H, Abialam; Agus Mohamad Soleh; Farit Mochamad Afendi
Indonesian Journal of Statistics and Applications Vol 8 No 1 (2024)
Publisher : Statistics and Data Science Program Study, IPB University, IPB University, in collaboration with the Forum Pendidikan Tinggi Statistika Indonesia (FORSTAT) and the Ikatan Statistisi Indonesia (ISI)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29244/ijsa.v8i1p58-69

Abstract

Spatial dependence and spatial heteroskedasticity are problems in spatial regression. Spatial autoregressive regression (SAR) concerns only to the dependence on lag. The estimation of SAR parameters containing heteroskedasticity using the maximum likelihood estimation (MLE) method provides biased and inconsistent estimators. The alternative method that can be used are generalized method of moments (GMM) and Bayesian method. GMM uses a combination of linear and quadratic moment functions simultaneously so that the computation is easier than MLE. Bayesian method solves heteroskedasticity by modeling the structure of variance-covariance matrix. The bias are used to evaluate the GMM and Bayes in estimating parameters of SAR model with heteroskedasticity disturbances in simulation data. The results show that GMM and Bayes provides the bias of parameter estimates relatively consistent and smaller with larger number of observations. GMM and Bayes methods are applied to district/city GRDP data in Indonesia. The result show GMM method with Eksponential Distance Weights (EDW) matrix produces the minimum variance and the largest pseudo-R2
Comparison of ARIMA and GRU Models for High-Frequency Time Series Forecasting. Ridwan, Mochamad; Sadik, Kusman; Afendi, Farit Mochamad
Scientific Journal of Informatics Vol 10, No 3 (2023): August 2023
Publisher : Universitas Negeri Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15294/sji.v10i3.45965

Abstract

Purpose: The purpose of this research is to assess the efficacy of ARIMA and GRU models in forecasting high-frequency stock price data, specifically minute-level stock data from HIMBARA banks. In time series analysis, time series data exhibit interesting interdependence among observations. Despite its popularity in time series forecasting, the ARIMA model has limitations in capturing complicated nonlinear patterns. Forecasting high-frequency data is becoming more popular as technology advances and more high-frequency data becomes available.Methods: In this study, we compare the ARIMA and GRU models in forecasting minute-level stock prices of HIMBARA banks. The data used consists of 62,921 minute-level stock data points for each bank in the HIMBARA group, collected in the year 2022. The GRU model was chosen because it is capable of capturing complex nonlinear patterns in time series data. Each method's predicting performance is assessed using the Mean Absolute Percentage Error (MAPE) statistic.Results: In terms of forecasting accuracy, the GRU model outperforms the ARIMA model. The GRU model achieves a MAPE of 0.77% for BMRI stock, while the ARIMA model achieves a MAPE of 4.09%. The GRU model predicts a MAPE of 0.34% for BBRI stock, while the ARIMA model predicts a MAPE of 3.02%. For BBNI stock, the GRU model obtains a MAPE of 0.63%, while the ARIMA model achieves a MAPE of 1.52%. The GRU model achieves a MAPE of 0.58% for BBTN stock, while the ARIMA model achieves a MAPE of 6.2%.Novelty: In terms of minute-level time series data modeling, research in Indonesia has been limited. This study adds a new perspective to the discussion by comparing two modeling approaches: the traditional ARIMA model and the sophisticated deep learning GRU model, both of which are applied to high-frequency data. Beyond the present scope, there are several promising future directions to pursue, such as anticipating intraday stock fluctuations. This unexplored zone not only contributes to the field of financial modeling but also has the ability to uncover intricate patterns in minute-level data, an area that has not been extensively studied in the Indonesian context.
Co-Authors . Indahwati . Sutoro Aam Alamudi Abd. Rasyid Syamsuri Agus Mohamad Soleh Agus Santoso Aji Hamim Wigena Akbar Rizki Akbar Rizki Akbar Rizki Aki Hirai Anang Kurnia Anggraini Sukmawati Annisa Malik Apino, Ezi Aqmar, Nurzatil Bagus Sartono Budi Susetyo Budi Susetyo Budi Waryanto Budi Waryanto Budi Waryanto Cici Suhaeni Dairul Fuhron Dalimunthe, Amir Abduljabbar Dian Ayuningtyas Eka Setiawaty Erwandi Erwandi fatimah Fatimah Febie Tri Lestari Fitrianto, Anwar H S, Rahmat Handayani, Vitri Aprilla Handayani, Vitri Aprilla Hari Wijayanto Hari Wijayanto Hasibuan, Rafika Aufa Hasnita Hasnita Herdina Kuswari Heri Retnawati Hiroki Takahashi I Made Sumertajaya Ikhlasul Amalia Rahmi Indahwati Indahwati Indahwati Isnan Mulia Itasia Dina Sulvianti Izzati, Fatkhul Kensuke Nakamura Khairil Anwar Notodiputro Koesnandy H, Abialam Kusman Sadik Latifah Kosim Darusman M. Rafi Maya Deanti Maysarah Sabariah Kudadiri Md. Altaf-Ul-Amin . Melati Mochamad Ridwan Mochamad Ridwan, Mochamad Mohammad Masjkur Muchlishah Rosyadah Muhammad Ali Umar Mukhamad Najib Nadhif Nursyahban Nur Hikmah Nur Janah Nur Jannah Nurul Qomariasih Octaviani, Siti Nurfajar Panjaitan, Intan Juliana Pardede, Timbul Pika Silvianti Pika Silvianti Pika Silvianti Puspita, Novi Qomariasih, Nurul Rifqi Aulya Rahman Rizal Bakri Rossi Azmatul Barro Rosyada, Munaya Nikma Rosyadah, Muchlishah Rudi Heryanto Safitri, Wa Ode Rahmalia Septaningsih, Dewi Anggraini Septanti Kusuma Dwi Arini Septiani, Adeline Vinda Shigehiko Kanaya Sulistiyani . Syahrir, Nur Hilal A. Syahrir, Nur Hilal A. Usman, Muhammad Syafiuddin Widhiyanti Nugraheni Widya Putri Nurmawati Winata, Hilma Mutiara Wisnu Ananta Kusuma Zana Aprillia