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All Journal PROSIDING SEMINAR NASIONAL Jurnal Gaussian Jurnal Statistika Universitas Muhammadiyah Semarang
Alan Prahutama
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Decision Sciences, Operations Research & Management Education Other

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PEMODELAN DAN PERAMALAN INDEKS HARGA SAHAM GABUNGAN (IHSG), JAKARTA ISLAMIC INDEX (JII), DAN HARGA MINYAK DUNIA BRENT CRUDE OIL MENGGUNAKAN METODE VECTOR AUTOREGRESSIVE EXOGENOUS (VARX) Nunung Hanurowati; Moch. Abdul Mukid; Alan Prahutama
Jurnal Gaussian Vol 5, No 4 (2016): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (664.021 KB) | DOI: 10.14710/j.gauss.v5i4.14725

Abstract

Index of stocks listed on the Indonesia Stock Exchange (IDX) there are conventional that one of them is the Composite Stock Price Index (CSPI) and the index of stocks that are sharia is the Jakarta Islamic Index (JII). In its movement, the value of CSPI and JII often increases and decreases that are influenced by several factors, one of which is the world oil price of Brent Crude Oil. To see the value of CSPI and JII conditions during the period of the next few months it takes the model equations. Because the third such data included in the time series data, we used time series analysis with the appropriate method is the Vector Autoregressive Exogenous (VARX). VARX(p,q) is a model of multivariate time series that consists of several endogenous variable of the time series order p with q adding exogenous variables. The purpose of this study is to obtain an appropriate VARX models and forecasting for data CSPI and JII. The model to predict CSPI and JII with exogenous variables that influence the world oil prices of Brent Crude Oil is VARX(1,1). Test parameters for exogenous variables in the model VARX(1,1) not significant at significance level α = 5%, but this result could be ignored and continues to testing residual assumptions. Residual model VARX(1,1) satisfies the assumption of white noise and multivariate normal distribution, in order to obtain results as very good forecast that with each MAPE value for CSPI and JII forecast of 2,71% and 3,63%. Keywords: CPSI, JII, Brent Crude Oil, VARX, MAPE.
PENGUKURAN KINERJA PORTOFOLIO SAHAM MENGGUNAKAN MODEL BLACK-LITTERMAN BERDASARKAN INDEKS TREYNOR, INDEKS SHARPE, DAN INDEKS JENSEN (Studi Kasus Saham-Saham yang Termasuk dalam Jakarta Islamic Index Periode 2009-2013) Siti Azizah; Sugito Sugito; Alan Prahutama
Jurnal Gaussian Vol 3, No 4 (2014): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (764.659 KB) | DOI: 10.14710/j.gauss.v3i4.8097

Abstract

The composing of portfolio is one of the way to minimize the risk of investment. Through portfolio, it is expected that some stocks still give return when other stocks are loss. From this composed portfolio, every investor expect appropriate return. The higher the return is better. Black-Litterman Model is the method which optimize the investor’s return by giving difference financial capital proportion for every stocks of portfolio. This method combines both the aspect historical data and the investor view to make new prediction about return of portfolio as the basic to compose the weight model of assets. Investor often compose some portfolio to plan their investment, to compare the performance (capability to produce return and also risk) from any number of portfolio, before evaluating whether the performance of chosen portfolio has been appropriate with the expectation. The measurement of the performance of portfolio is done by using Sharpe, Treynor, and Jensen Indeks. The result of the case study of eleven Jakarta Islamic Indexstocks in the period of 2009-2013 recommend the portfolio with the best perform, whichis optimized which Black-Litterman Model. Based on Sharpe Indeks, the best portfolio consists of SMGR 60,79% and INTP 39,21% of capital allocation. Based on Treynor and Jensen Indeks, the best portfolio consists of SMGR 22,59%, INTP 37,67%, PTBA 1,62%, ANTM 2,69%, ITMG 16,17%, and KLBF 19,26%. Keywords :     JII, Portfolio, Black-Litterman Model, Treynor Index, Sharpe Index, Jensen Index. 
Co-Authors - Sugito Abdul Hoyyi Agus Rusgiyono Arief Rachman Hakim Aselina Pratidina Wrediningsih Azizah Mulia Mawarni Berta Elvionita Fitriani Budi Warsito Chainur Arrasyid Hasibuan Diah Safitri Dian Andhika Prameswara Dwi Ispriyanti Dwi Ispriyanti Dwi Ispriyanti Erna Fransisca Angela Sihotang Fathimatuzzahra Syahrozad Nuroqi Fizry Listiyani Maulida Hasbi Yasin Irawati Tamara Jenesia Kusuma Wardhani Laili Isna Nur Khiqmah Luthfi Nashukha Dewi Mariska Srihardianti Mega Susilowati Moch Abdul Mukid Moch. Abdul Mukid Muhammad Rosyid Abdurrahman Mustafid Mustafid Nia Puspita Sari Nunung Hanurowati Nurmalita Sari Omy Wahyudi Rengganis Purwakinanti Rezzy Eko Caraka Rita Rahmawati Rizky Adhi Nugroho Rizky Amanda Rizky Dwi Rahmawati Ronny Gusnadi Rukun Santoso Siti Azizah Sudarno Sudarno Sugito - Sugito Sugito Suparti - Suparti Suparti Tarno Tarno Tatik Widiharih Tiani Wahyu Utami Viliyan Indaka Ardhi Yogi Setiyo Pamuji