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All Journal JURNAL MATEMATIKA STATISTIKA DAN KOMPUTASI
Dhita Hartanti Octavia
Program Studi Statistika, FMIPA-Universitas Hasanuddin
Mathematics

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Modeling Determinants of Composite Stock Price Index Based on Multivariable Nonparametric Penalized Spline Regression Model alized Spline Dhita Hartanti Octavia; Asma Auliarani; Siswanto Siswanto; Anisa Kalondeng
Jurnal Matematika, Statistika dan Komputasi Vol. 20 No. 3 (2024): May 2024
Publisher : Department of Mathematics, Hasanuddin University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20956/j.v20i3.32145

Abstract

The Composite Stock Price Index (IHSG) is a critical indicator in the Indonesian capital market, playing a central role as one of the key instruments influencing the dynamics of a country's economy. Modeling IHSG can provide a substantial contribution to stakeholders in the capital market, facilitating investment decision-making. Therefore, it is essential to obtain accurate and responsive estimates for IHSG data. The IHSG data used covers the period from January 2020 to December 2022 and tends to be fluctuating. Hence, a spline regression analysis with effective penalized spline estimation is applied to overcome the limitations of assumptions in the relationship between variables. The variables used in the modeling include inflation, exchange rates, interest rates, and IDJ. From the analysis results, optimal values based on the minimum GCV for each variable are sequentially 0.278, 0.904, 0.751, and 0.665. It is also known that these four variables collectively have a 92.1% influence, with inflation having varied impacts, exchange rates exhibiting a stronger negative effect at certain levels, interest rates showing opposite effects depending on their levels, and IDJ having a positive effect on IHSG movements. The significant variability of these impacts indicates that these variables make important contributions. In other words, IHSG fluctuations can be explained by variations in the values of inflation, exchange rates, interest rates, and IDJ.
Eskalasi Kualitas Sumber Daya Manusia dalam Resiliensi Kesehatan Nasional melalui Estimasi Parameter Model Multilevel dengan Pendekatan Restricted Maximum Likelihood pada Rataan UTBK 2019 Dhita Hartanti Octavia; Muhammad Ridzky Davala; Nurul Mutiara Annisa
Jurnal Matematika, Statistika dan Komputasi Vol. 21 No. 1 (2024): SEPTEMBER 2024
Publisher : Department of Mathematics, Hasanuddin University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20956/j.v21i1.35781

Abstract

Multilevel modeling or Hierarchical Linear Modeling (HLM) is a statistical approach specifically used to analyze data with a two-level structure. This approach allows an understanding of the contribution of factors at both the individual and group levels to the response variable. One method commonly used in HLM is Restricted Maximum Likelihood (REML). REML is a parameter estimation method that is often applied in statistical models, especially linear models that incorporate random components. This allows more efficient parameter assessment compared to conventional estimation methods. In this research, multilevel model parameter estimation analysis was carried out using the limited maximum likelihood approach. The aim is to determine the multilevel linear regression model on the average UTBK score for health cluster study programs in 2019. This involves selecting the optimal node point based on the minimum Generalized Cross Validation (GCV) and identifying the factors that influence it. Predictor variables considered include interest and capacity of study programs at university level (Level-1), as well as the average UNBK and HDI scores at provincial level (Level-2). The findings of this research indicate that the most appropriate multilevel regression model is formed with three nodes with a minimum GCV value at Level-1 of 864.6593 and at Level-2 of 3.1816. At Level-1, the influencing factor is the interest variable and at Level-2 is the average provincial UNBK score in 2019 and the Human Development Index (HDI).
Co-Authors Anisa Kalondeng Asma Auliarani Muhammad Ridzky Davala Nurul Mutiara Annisa Siswanto Siswanto