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All Journal Media Statistika MATEMATIKA SAINS DAN MATEMATIKA Jurnal Gaussian Jurnal Ilmiah Bening : Belajar Bimbingan Dan Konseling GUIDENA: Jurnal Ilmu Pendidikan, Psikologi, Bimbingan dan Konseling JURNAL PENDIDIKAN TAMBUSAI JURNAL KAJIAN TEKNIK SIPIL Abdi Laksana : Jurnal Pengabdian Kepada Masyarakat MURHUM : JURNAL PENDIDIKAN ANAK USIA DINI Journal Of Human And Education (JAHE) Tsaqofah: Jurnal Penelitian Guru Indonesia EJOIN : Jurnal Pengabdian Masyarakat Innovative: Journal Of Social Science Research Jurnal Pengabdian Masyarakat Indonesia Sejahtera Alamtana
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Journal : Jurnal Gaussian

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PEMODELAN ANTAR VARIABEL EKONOMI SECARA SIMULTAN MENGGUNAKAN PENDEKATAN VECTOR ERROR CORRECTION MODEL (VECM) Halim, Rossa Fitria; Sudarno, Sudarno; Tarno, Tarno
Jurnal Gaussian Vol 12, No 3 (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.12.3.414-424

Abstract

The movement of the Jakarta Composite Index (IHSG) is influenced by internal factors such as inflation, the BI Rate, exchange rate, and external factors consisting of world gold prices and world crude oil prices. The six economic variables have a relationship simultaneously. Vector Error Correction Model (VECM) is a Vector Autoregressive (VAR) which has non-stationary but has a long-term cointegration. The purpose of this study is to analyze the cointegration among economic variables and determine the model of economic variables. Data for the variables is monthly data for the period January 2012 to December 2021 which has fulfilled stationarity at first level of difference. The optimum lag chosen is lag 1 so that the model to be used is VECM(1) and the resulting VAR system has less than one modulus for the VAR to be stable. Johansen's cointegration test yielded 5 cointegrations, so each short-term period adjusts simultaneously and tends to adjust with each other to achieve long-term equilibrium. The Mean Absolute Percentage Error (MAPE) value in the evaluation of model accuracy ranges below 10%, so the model’s performance is very good.
PENENTUAN VALUE AT RISK (VAR) PADA PORTOFOLIO BIVARIAT DENGAN PENDEKATAN COPULA GUMBEL Febriani, Karina; Tarno, Tarno; Fakhriyana, Deby
Jurnal Gaussian Vol 13, No 1 (2024): 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.13.1.79-87

Abstract

One way to minimize risk in stock investment is stock portfolio. Value at Risk (VaR) is a calculation method that can be used to estimate the risk of a stock portfolio. VaR can be measured by parametric and non-parametric approaches. Calculation of VaR with Monte Carlo simulation assumes the data is normally distributed. Stock return data generally has high volatility so that the residual variance of the model is not constant (heteroscedasticity) and not normally distributed. The ARIMA-GARCH model can be used to solve heteroscedasticity problems. Copula is a tool used to model the combined distribution of residuals from the ARIMA-GARCH model which does not require normality assumptions. Gumbel's copula is copula that has the best sensitivity to high risk. This study uses stock data of PT Bukit Asam Tbk (PTBA) and PT Chandra Asri Petrochemical Tbk (TPIA) for the period April 1 2020 – December 1 2022. The initial step of this research is model stock returns using the ARIMA-GARCH method and then calculate portfolio VaR using the Gumbel’s copula. The results showed that the best model for PTBA is ARIMA(2,0,2) GARCH(1,1) and for TPIA is ARIMA(1,0,0) GARCH (1,1). At the 95% confidence level, the portfolio risk is 2,41%.
PERAMALAN INDEKS HARGA SAHAM GABUNGAN (IHSG) MENGGUNAKAN MODEL INTERVENSI FUNGSI PULSE Rosilawati, Elsa Dwi; Tarno, Tarno; Wuryandari, Triastuti
Jurnal Gaussian Vol 12, No 3 (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.12.3.382-391

Abstract

The intervention model is one model that is frequently used to explain how interventions from both internal and external sources can lead to dramatic fluctuations in a time series of data. The Composite Stock Price Index, known as the IDX Composite, is an index that tracks all stock price performance. For the Composite Stock Price Index from 2 October 2020 to 6 June 2022, daily close price data are used in this study. The data showed a sharp reduction starting on 9 May 2020 (T=386) and lasting for the following 4 days, which made the pulse function the likely intervention model. Rising interest rates and high inflation figures from the United States are to blame for the drop in IDX Composite close price. In addition, a lot of profit-taking was done because of the Eid holidays and the expectation of a substantial increase in COVID-19. The best intervention model created is ARIMA ([3],1,0) with an intervention order of b=0, r=0, and s=11, which can then be used to forecast Composite Stock Price Index for the following period. This is based on the outcomes and analyses. The sMAPE value in the research utilizing this model was 0.98%, suggesting very strong forecasting capabilities.
Co-Authors Abdul Hoyyi Abdul Rahim Acoci, Acoci Adnan Adnan Agus Rusgiyono Agusalim, Agusalim Agustien, Stevani Akbar, Azaz Aris Sugiharto Aris Susanto Arsyil Hendra Saputra Budi Warsito Dadang, Rahmat Deby Fakhriyana, Deby Desti, Desti Di Asih I Maruddani Diah Safitri Dwi Hasti Ratnasari Dwi Ispriyanti Edison Edison Ervina, Evi Fadillah Yamin, Kurnia Farisatma, Farisatma Faslia, Faslia Febriani, Karina Gawise, Gawise Halim, Rossa Fitria Hartati Hartati Hasbi Yasin Imani, Nanda Diva Lingkar Irman Matje Irwan Irwan Jesica, Haniela Puja Jeti, La Junaidin Junaidin Maimuna Maimuna, Maimuna Manan, Manan Matje, Irman Nur Indah Yuli Astuti, Nur Indah Yuli Nurihsan, Achmad Juntika Paula Meilina Dwi Hapsari Payitno, Isnu Harjo Purnamasari, Wa Ode Dian Rachim, Febyani Rita Rahmawati Rokhma Al Anisah Rosilawati, Elsa Dwi Saefudin, Encep Saleh, Rachman Samantha, Kenia Saputra, Bagus Arya Sari, Sasmita Kartika Setiyowati, Eka Suardin Suardin, Suardin Suarti, Suarti Subanar . Subandono, Joko Suciyanti, Suciyanti Sudarno Sudarno Sugito - Sukmawati, Dina Sulasmi, Andi Suparti Suparti Syamsu Yusuf, Syamsu TITI RACHMI, TITI Tri Wahyu Kuningsih, Tri Wahyu Triastuti Wuryandari Trimono, Trimono Ulfah Sulistyowati Utami, Rianti Siswi Wati, Isna Wijaya, Fatma Pandu Wijaya, Rasman Sastra Yamin, Kurnia Fadillah Yon Haryono Yuciana Wilandari Yusi Riksa Yustiana, Yusi Riksa Yusnan, Muhammad Zubair, Zubair