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GRG Non-Linear and ARWM Methods for Estimating the GARCH-M, GJR, and log-GARCH Models Nugroho, Didit Budi; Panjaitan, Lam Peter; Kurniawati, Dini; Kholil, Zaini; Susanto, Bambang; Sasongko, Leopoldus Ricky
JTAM (Jurnal Teori dan Aplikasi Matematika) Vol 6, No 2 (2022): April
Publisher : Universitas Muhammadiyah Mataram

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31764/jtam.v6i2.7694

Abstract

Numerous variants of the basic Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have been proposed to provide good volatility estimating and forecasting. Most of the study does not work Excel’s Solver to estimate GARCH-type models. The first purpose of this study is to provide the capability analyze of the GRG non-linear method built in Excel’s Solver to estimate the GARCH models in comparison to the adaptive random walk Metropolis method in Matlab by own codes. The second contribution of this study is to evaluate some characteristics and performance of the GARCH-M(1,1), GJR(1,1), and log-GARCH(1,1) models with Normal and Student-t error distributions that fitted to financial data. Empirical analyze is based on the application of models and methods to the DJIA, S&P500, and S&P CNX Nifty stock indices. The first empirical result showed that Excel’s Solver’s Generalized Reduced Gradient (GRG) non-linear method has capability to estimate the econometric models. Second, the GJR(1,1) models provide the best fitting, followed by the GARCH-M(1,1), GARCH(1,1), and log-GARCH(1,1) models. This study concludes that Excel’s Solver’s GRG non-linear can be recommended to the practitioners that do not have enough knowledge in the programming language in order to estimate the econometrics models. It also suggests to incorporate a risk premium in the return equation and an asymmetric effect in the variance equation. 
Pembelajaran Vektor Untuk Klasifikasi Data Pada Bidang Parhusip, Hanna Arini; Susanto, Bambang; Linawati, Lilik; Trihandaru, Suryasatriya; Sardjono, Yohanes
SJME (Supremum Journal of Mathematics Education) Vol 4 No 2 (2020): Supremum Journal of Mahematics Education
Publisher : Fakultas Keguruan dan Ilmu Pendidikan Universitas Singaperbangsa

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35706/sjme.v4i2.3515

Abstract

Tujuan penelitian ini adalah penyusunan hyperplane untukmemisahkan data yang mempunyai 2 kelas dan bersifat linear padabidang datar sebagai pembelajaran vektor untuk klasifikasi data.Adapun metode yang digunakan adalah pre-Support Vector Machine(SVM). Metode ini mencari garis (hyperplane) terbaik yangmemisahkan data dan memberi ruang antar 2 kelas data dimana ruangpemisah tersebut tidak boleh memuat data serta ruang tersebutmerupakan margin maksimal. Langkah awal adalah menduga garispemisah (hyperplane) awal melalui titik O. Dengan mengambil salahsatu titik data yang menjadi titik referensi, disusun vektor dari Oterhadap titik referensi dan garis melalui titik referensi sebagai bataspertama margin. Kemudian dibentuk vektor arah dari titik O yangtegak lulus terhadap garis awal (hyperplane). Selanjutnya vektorproyeksi dibentuk dari titik referensi terhadap vektor arah sehinggavektor arah dan vektor proyeksi berhimpit (searah). Penyusunanmargin diperoleh dengan menyusun garis yang pararel terhadap garisawal sebagai hyperplane serta berjarak 2 kali dengan panjang vektorproyeksi tersebut. Hyperplane terbaik diperoleh secara manual denganmengatur batas kedua dari margin yang diperoleh dengan menggambargaris melalui suatu titik data pada kelas ke-2 dengan jarak terdekat danpararel terhadap garis yang melalui titik referensi dari data kelas ke-1.
Human Capital Decision Intelligence (HCDI) architecture in microbiology laboratory based on machine learning and operations research models Trihandaru, Suryasatriya; Susetyo, Yosia Adi; Parhusip, Hanna Arini; Susanto, Bambang
International Journal of Advances in Intelligent Informatics Vol 11, No 4 (2025): November 2025
Publisher : Universitas Ahmad Dahlan

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26555/ijain.v11i4.1676

Abstract

The Human Capital Decision Intelligence (HDCI) system integrates human-computer interaction in a microbiology laboratory that uses machine learning and operational research to classify new tasks and then recommend assignments to each person. The models evaluated in building this system are Support Vector Machine, Gaussian Naive Bayes, Multinomial Logistic Regression, and Artificial Neural Network. The results of the research show that the ANN model is the most consistent and reliable across various training ratios, as indicated by the model's goodness parameters. The selected ANN model is combined with a linear programming approach to optimize workload distribution. The integrated system successfully manages new job scenarios and recommends staff based on competencies and availability. It also ensures assignments do not exceed maximum workload limits and finds alternatives when key staff are unavailable. The implementation of the HDCI system has a positive impact on various factors, including the fair distribution of tasks, enhanced staff performance monitoring, and significantly improved operational efficiency and human resource management in the microbiology laboratory. The system is designed to be easy to use and support collaboration between laboratory staff and computational models. The system is not only advanced in supporting personnel management decision-making, but it can also demonstrate how artificial intelligence and operations research systems can be combined to address the needs of the microbiology laboratory environment.
Comparison of k-Nearest Neighbor and Naive Bayes Methods for SNP Data Classification Denny Indrajaya; Adi Setiawan; Bambang Susanto
MATRIK : Jurnal Manajemen, Teknik Informatika dan Rekayasa Komputer Vol. 22 No. 1 (2022)
Publisher : Universitas Bumigora

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30812/matrik.v22i1.1758

Abstract

In an accident, sometimes the identity of a person who has an accident is hard to know, so it is necessary to use biological data such as Single Nucleotide Polymorphism (SNP) data to identify the person's origin. This research aims to compare the accuracy and the F1 score of the k-Nearest Neighbor method and the Naive Bayes method in classifying SNP data from 120 people who divide into groups, namely European (CEU) and Yoruba (YRI). Determination of the best method based on the average value of accuracy and the average value of F1 score from 1000 iterations with various percentage distributions of training datasets and testing datasets. In this research, the selection of SNP locations for the classification process was carried out by correlation analysis. The average accuracy obtained for the k-Nearest Neighbor method with the value of k=31 is 98.38% where the average F1 score is 98.39% while the Naive Bayes method obtained the average accuracy of 96.74% and the average F1 score of 96.63%. In this case, the k-Nearest Neighbor method is better than the Naive Bayes method in classifying SNP data to determine the origin of a person's ancestor tends to be from CEU or YRI.
Selection Method of Modulation Index and Frequency ratio for Getting the SPWM Minimum Harmonic of Single Phase Inverter Kristi, Ant. Ardath; Susanto, Bambang; Risdiyanto, Agus; Junaedi, Agus; Muqorobin, Anwar; Rachman, Noviadi Arief; Santosa, Harjono Priyo
EMITTER International Journal of Engineering Technology Vol 9 No 1 (2021)
Publisher : Politeknik Elektronika Negeri Surabaya (PENS)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24003/emitter.v9i1.587

Abstract

Harmonic content is an important parameter in relation to the power generated by inverter. In power conversion technology of inverter, sinusoidal pulse width modulation (SPWM) is the most popular used by many researchers. The advantages of SPWM inverter operation as a conversion technique compared to other inverter types can be seen from the low harmonic distortion in the output voltage of inverter. Therefore, the SPWM signal generation process becomes a determining factor for the performance of the overall system. This paper present the method for selecting the modulation index (ma) and frequency ratio (mf) using Cubic Spline Interpolation to get minimum harmonic of SPWM inverter that generated. Both parameters controlled with varied values digitally using microcontroller to generate SPWM, then the output of inverter with and without LC filter was investigated. The results show that the use of Cubic Spline Interpolation method in the selection of ma and mf precisely managed to produce SPWM inverter with minimum harmonic content. At the inverter output, the use of LC filter is not only useful for converting SPWM signals to sinusoidal waveforms but can also reduce harmonic content significantly less than 3 %.