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All Journal Pendas : Jurnah Ilmiah Pendidikan Dasar International Journal of Science and Society (IJSOC) Jurnal Riset Statistika Bandung Conference Series: Statistics Al-fiqh : Journal of Islamic Studies Jurnal Industrikrisna Prawara Jurnal Pengabdian Masyarakat
Suwanda
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Religion Control & Systems Engineering Decision Sciences, Operations Research & Management Education Engineering Industrial & Manufacturing Engineering Materials Science & Nanotechnology Mathematics Mechanical Engineering Public Health Social Sciences Transportation Other

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Journal : Bandung Conference Series: Statistics

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Penerapan Metode Autoregressive Integrated Moving Average (ARIMA) pada Peramalan Data Inflasi di Kabupaten Cilacap Qathrunnada Salsabila; Suwanda
Bandung Conference Series: Statistics Vol. 4 No. 2 (2024): Bandung Conference Series: Statistics
Publisher : UNISBA Press

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29313/bcss.v4i2.15461

Abstract

Abstract. In the general and production subsection at the Central Statistics Agency of Cilacap Regency with tasks such as data collection, data recapitulation, entering survey documents conducted, and editing the Cilacap book in figures for 2023. In this study, the author wants to forecast inflation in Cilacap Regency from January 2018 to July 2023 to find out whether inflation at the end of 2023 will be higher than the previous year. This analysis uses the ARIMA (Autoregressive Integrated Moving Average) method with the parameters obtained, namely ARIMA (2,1,1). So it can be concluded that inflation that occurs in the next five months has increased and decreased from the previous year, namely 0.09% in August 2023; -0.04% in September 2023; -0.02% in October 2023; 0.03% in November 2023; -0.00% in December 2023. Abstrak. Pada subbagian umum dan produksi di Badan Pusat Statistika Kabupaten Cilacap dengan tugas-tugas seperti pengumpulan data, merekap data, mengentry dokumen survey yang dilakukan, serta mengedit buku Cilacap dalam angka 2023. Dalam penelitian ini penulis ingin melakukan peramalan inflasi di Kabupaten Cilacap dari bulan Januari tahun 2018 sampai bulan Juli tahun 2023 untuk mengetahui apakah inflasi di akhir tahun 2023 akan lebih tinggi dari bulan tahun sebelumnya. Analisis ini menggunakan metode ARIMA (Autoregressive Integrated Moving Average) dengan parameter yang diperoleh yaitu ARIMA (2,1,1). Maka dapat disimpulkan bahwa inflasi yang terjadi lima bulan kedepan mengalami naik dan turun dari tahun sebelumnya yaitu sebesar 0.09% dibulan Agustus 2023; -0.04% di bulan September 2023; -0.02% dibulan Oktober 2023; 0.03% dibulan November 2023; -0.00% dibulan Desember 2023.
Penerapan Diagram Kendali Shewhart pada Model ARMA-GARCH dalam Memantau Proses Keuangan di Pasar Modal Indonesia Maharani, Renita; Suwanda
Bandung Conference Series: Statistics Vol. 5 No. 2 (2025): Bandung Conference Series: Statistics
Publisher : UNISBA Press

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29313/bcss.v5i2.20556

Abstract

Abstract. The capital market has significant potential to drive the country's economic growth. The Indonesian capital market is inseparable from market uncertainty which influences risk considerations in investing. Financial data modeling using time series methods is effective in modeling stock market returns and volatility. The ARMA model is unable to handle the problem of non-constant residual variance, requiring advanced modeling, namely ARMA-GARCH. However, this model has limitations in monitoring the stability of financial processes. Therefore, a statistical method capable of monitoring financial process stability, namely the Shewhart control chart, is applied. This study uses the ARMA-GARCH model and the Shewhart control chart to model returns and volatility with statistical control tools useful for providing an overview of investment risk in the Indonesian capital market. This study uses data from the Jakarta Composite Index for the period January 2000 to December 2024, totaling 6,089 observations. The results show that the ARMA (1,2) - GARCH (2,1) model is the best model with the smallest AIC and SIC values. The Shewhart control chart for the ARMA (1,2) - GARCH (2,1) model shows 101 uncontrolled signals. This indicates that there were at least 101 market volatility shocks in the Indonesian capital market from January 2000 to December 2024. Abstrak. Pasar modal memiliki potensi besar menjadi motor penggerak pertumbuhan ekonomi negara. Pasar modal Indonesia tidak terlepas dari ketidakpastian pasar yang berpengaruh pada pertimbangan risiko dalam berinvestasi. Pemodelan data keuangan menggunakan metode deret waktu sangat efektif dalam memodelkan return dan volatilitas pasar saham. Model ARMA tidak mampu menangani masalah ragam sisaan yang tidak konstan sehingga diperlukan pemodelan lanjutan yaitu ARMA-GARCH. Namun, model ini memiliki keterbatasan dalam memantau stabilitas proses keuangan. Maka diterapkan metode statistik yang mampu memantau stabilitas proses keuangan yaitu diagram kendali Shewhart. Penelitian ini menggunakan model ARMA-GARCH dan diagram kendali Shewhart untuk memodelkan return dan volatilitas dengan alat kontrol statistik yang berguna untuk memberikan gambaran risiko investasi di pasar modal Indonesia. Penelitian ini menggunakan data Indeks Harga Saham Gabungan (IHSG) periode Januari 2000 sampai Desember 2024 sebanyak 6.089 pengamatan. Hasil penelitian menunjukkan bahwa model ARMA (1,2) – GARCH (2,1) merupakan model terbaik dengan nilai AIC dan SIC terkecil. Diagram kendali Shewhart pada model ARMA (1,2) – GARCH (2,1) menunjukkan sinyal yang tidak terkendali sebanyak 101 kali. Hal ini menandakan bahwa sepanjang periode Januari 2000 sampai Desember 2024 terjadi setidaknya 101 kali guncangan (market volatility) di pasar modal Indonesia.
Co-Authors 10060119027, Izmi Rizkyanisaputri Abdul Kudus Assidiq , Muhammad Nurhasan Aulia Yasmin Azhwa, Nadya Beni Rahmatullah butarbutar, florida Dina Anika Marhayani Dyah Listya Rini Fhilip Trisa Parera Firmansyah, Ervana Nurmelia Ramdhani Gesti Gilang Utama Auliarahman Hasan, Tajudin Isman Putra, Rafly Kariadi, Dodik Krisna, Rian Kurnia , Ismail Maharani, Renita Mufika Reviana Hidayat Nur Hikmah Qathrunnada Salsabila Rahayu Renaldi Silvi Oktaviani Saridewi Tasya Noor Octa Melana Tiara Erlani Putri Tsaltsa Annisaa, Ayang Wahyu Ramadhan Yani