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Di Asih I Maruddani
Departemen Statistika, Fakultas Sains dan Matematika, Undip
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MODEL REGRESI DATA PANEL DINAMIS DENGAN ESTIMASI PARAMETER ARELLANO-BOND PADA PERTUMBUHAN EKONOMI DI INDONESIA Muhammad Emir Wicaksono; Di Asih I Maruddani; Iut Tri Utami
Jurnal Gaussian Vol 12, No 2 (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.12.2.266-275

Abstract

Economic growth is one of factor for knowing rate of income in some country and knowing the rate of income from the indicator the value of Gross Domestic Product (GDP). The factor to be expected that affected GDP are Human Development Index (HDI), Foreign Investment, Domestic Investment, inflation, export net, Labour Participation Rate, and Government Spending. The research to determine a model and short-term effect also long-term effect from the variable that suspected to affect economic growth in Indonesia. The research does with dynamic panel data model defined as model involved lag from dependent variable as their independent variable. Usage of lag on the model caused of estimation with Ordinary Least Square (OLS) produced bias and inconsistent estimation. Generalized Method of Moment (GMM) Arellano-Bond estimation which is the parameter estimation with first differencing and instrumental variable method used to clear the solution of OLS produced bias and inconsistent estimation. The research produced model from variable influence to economic growth in Indonesia, HDI and Government Spending. Short-term effect from HDI for GDP has increased 2,410332 percent and long-term effect has increased 18,7610975 percent. Short-term effect from Government Spending for GDP has decreased 0,1025608 percent and long-term effect has decreased 0,798293831 percent.
PENENTUAN PORTOFOLIO OPTIMAL DENGAN METODE MULTI INDEX MODEL DAN PENGUKURAN RISIKO DENGAN EXPECTED SHORTFALL (Studi Kasus: Kelompok Saham LQ45 Periode Januari 2017 - Desember 2021) Wanda Zulfa Fauziah; Tatik Widiharih; Di Asih I Maruddani
Jurnal Gaussian Vol 12, No 2 (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.12.2.209-220

Abstract

Various methods have been applied to determine the optimal portfolio, one of which is Multi Index Model. MIM is a method that uses more than one factors that affects stock price movements, this study uses ICI and exchange rate factors. Risk measurement is very important in financial analysis because almost all of them contain elements of risk. One form of risk measure that’s relatively popular in financial risk analysis is Value at Risk. VaR has a disadvantage because it only measures the percentile of the loss distribution without considering losses that exceed VaR and VaR isn’t coherent (it doesn’t fulfill the property of subadditivity). The risk measure used to overcome the weakness of VaR is Expected Shortfall. The results of the study using MIM method obtained the optimal portfolio consisting of BBRI (45.777%), PTPP (2.952%), and UNTR (51.271%) which provide a profit rate of 0.383%. The calculation results show that with a 95% confidence level, ES and VaR values obtained are 26.639% and 11.210%, respectively. ES value will be more precise in the context of a portfolio so that the maximum loss that will be received by the optimal portfolio investor that has been formed one month ahead is 26.639%. 
ANALISIS PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL DAN PENGUKURAN VALUE AT RISK DENGAN SIMULASI MONTE CARLO (Studi Kasus: Exchange Traded Fund di Bursa Efek Indonesia Periode Januari 2021 – Juni 2022) Vian Rizeki Alif Priyantono; Di Asih I Maruddani; Iut Tri Utami
Jurnal Gaussian Vol 12, No 2 (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.12.2.158-165

Abstract

Exchange Traded Fund is one of the investment instruments on the Indonesia Stock Exchange. One way to minimize investment risk is to form an optimal portfolio. This research uses a single index model method in the formation of the optimal portfolio because it has a simpler calculation than other methods, while to measure the Value at Risk (VaR) of the optimal portfolio using Monte Carlo Simulation. The Monte Carlo simulation assumes that the portfolio returns are normally distributed. This research uses ETF data for the period January 2021 to June 2022. The results show that of the seven ETFs sampled, only two ETFs are included in the optimal portfolio, that is XISR (Premiere ETF Sri-Kehati) and XIIT (Premiere ETF IDX-30). Of the two ETFs included in the optimal portfolio, the XISR ETF has a weight of 47.29% while the XIIT ETF has a weight of 52.71% in the formed portfolio, with the VaR estimation in the next month after investing in the optimal portfolio with a 95% confidence level is IDR 58,334,796.00 from the initial capital of IDR 1,000,000,000.00.
Co-Authors Iut Tri Utami Muhammad Emir Wicaksono Tatik Widiharih Vian Rizeki Alif Priyantono Wanda Zulfa Fauziah