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All Journal Jurnal Ilmiah Matematika dan Pendidikan Matematika (JMP) International Journal of Mathematics, Statistics, and Computing
Istikanaah, Najmah
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Computer Science & IT Mathematics

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MODEL PERAMALAN HARGA SAHAM MENGGUNAKAN METODE ARIMA – GARCH (STUDI KASUS SAHAM PT. UNILEVER INDONESIA) Supriyanto, Supriyanto; Utami, Aisyah Putri; Istikanaah, Najmah
Jurnal Ilmiah Matematika dan Pendidikan Matematika Vol 15 No 1 (2023): Jurnal Ilmiah Matematika dan Pendidikan Matematika (JMP)
Publisher : Universitas Jenderal Soedirman

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20884/1.jmp.2023.15.1.8658

Abstract

ABSTRACT. In this research, we focus on analyzing the stock price behavior of PT Unilever Indonesia and aim to improve the accuracy of stock price forecasting. The stock prices of PT Unilever Indonesia exhibit significant fluctuations, resulting in heteroscedasticity due to high volatility. While the Box-Jenkins ARIMA method is capable of generating accurate predictions, its precision diminishes when applied to data with heteroscedasticity. To address this limitation, the research employs the ARIMA-GARCH method. ARIMA-GARCH model treats heteroscedasticity as an opportunity, constructing a more robust forecasting model. The result of this research is the identification of the best ARIMA-GARCH model as ARIMA(1,0,1)-GARCH(1,2). Furthermore, the forecasting results for seven periods, from January 20, 2021, to January 28, 2021, using the best ARIMA-GARCH model, are summarized as follows Rp. 7,535.00, Rp. 7,511.00, Rp. 7,497.00, Rp. 7,489.00, and Rp. 7,485.00, respectively.Keywords: ARIMA-GARCH Model, Forecasting, Return and Stock. ABSTRAK. Fokus penelitian ini pada analisis karakteristik harga saham PT Unilever Indonesia dengan tujuan meningkatkan akurasi peramalan harga saham. Saham PT Unilever Indonesia adalah salah satu saham yang mengalami perubahan harga fluktuatif. Hal tersebut menimbulkan efek heteroskedastisitas karena volatilitas harga saham yang tinggi. Metode ARIMA Box-Jenkins dapat menghasilkan peramalan yang akurat, namun kurang tepat apabila digunakan untuk meramalkan data yang memiliki efek heteroskedastisitas. Oleh karena itu, dalam penelitian ini kami menggunakan metode ARIMA-GARCH. Metode ini dapat mengatasi heteroskedastisitas dan memanfaatkannya dalam pembentukan model peramalan, Hasil penelitian ini menunjukkan bahwa model terbaik yang didapatkan adalah ARIMA(1,0,1)-GARCH(1,2). Selain itu, hasil peramalan untuk tujuh periode, yaitu dari tanggal 20 Januari 2021 hingga 28 Januari 2021, menggunakan model ARIMA-GARCH terbaik, adalah Rp7.535,00, Rp7.511,00, Rp7.497,00, Rp7.489,00, dan Rp7.485,00.Kata Kunci: Model ARIMA-GARCH, Peramalan, Return, Saham.
Application of Benford's Law to Detect Fraud in Customers’ Ending Balances Using First Digit Test, Second Digit Test, and First Two Digits Test Firdaus, Muhammad Ilham; Prabowo, Agung; Istikanaah, Najmah
International Journal of Mathematics, Statistics, and Computing Vol. 3 No. 2 (2025): International Journal of Mathematics, Statistics, and Computing
Publisher : Communication In Research And Publications

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijmsc.v3i2.205

Abstract

Bank fraud involves several actions such as manipulating duplication, forgery, changing accounting records and so on. This study aims to detect the potential for fraud in banking reports on customer final balances. The types of tests used to detect potential fraud in this study are the First Digit Test, Second Digit Test and First Two Digit Test Benford's Law. Benford's law states that the proportion of occurrences of numbers in certain numbers is not the same. In addition to the three Benford's Law tests, further statistical tests were carried out to determine the magnitude of the deviation between the actual proportion of occurrences and the expected proportion of Benford's Law using the Mean Absolute Deviation (MAD), Chi-square test, and Z test. This study uses secondary data on the final balance of customer deposits as of July 2023 as much as 20,105 data. The results showed that there were indications of fraud in the form of rounding and duplication of data on the customer's final balance. MAD results show that the proportion of occurrence of actual numbers is quite consistent with the proportion of occurrence of Benford's Law expectations. Based on the Z test, the balance that has the potential for fraud is the value with the first digit '5', the second digit '3' and the first two digits '23'. These numbers can be found in balances with a nominal value of Rp5000 and Rp5636 in the first digit '5', and Rp23038 in the second digit '3' and the first two digits '23'.
Co-Authors Agung Prabowo Firdaus, Muhammad Ilham Supriyanto Supriyanto Utami, Aisyah Putri