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Modeling Stock Return Data Using Asymmetric Volatility Models: A Performance Comparison Based On the Akaike Information Criterion and Schwarz Criterion Setiawan, Eri; Herawati, Netti; Nisa, Khoirin
INSIST Vol 3, No 2 (2018)
Publisher : Universitas Lampung

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.23960/ins.v3i2.160

Abstract

The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model has been widely used in time series forecasting especially with asymmetric volatility data. As the generalization of autoregressive conditional heteroscedasticity model, GARCH is known to be more flexible to lag structures. Some enhancements of GARCH models were introduced in literatures, among them are Exponential GARCH (EGARCH), Threshold GARCH (TGARCH) and Asymmetric Power GARCH (APGARCH) models. This paper aims to compare the performance of the three enhancements of the asymmetric volatility models by means of applying the three models to estimate real daily stock return volatility data. The presence of leverage effects in empirical series is investigated. Based on the value of Akaike information and Schwarz criterions, the result showed that the best forecasting model for our daily stock return data is the APARCH model.
EVALUASI KESESUAIAN LAHAN UNTUK TANAMAN KOPI DAN KARET DI DAERAH ALIRAN SUNGAI JAMBANGAN KABUPATEN KARANGANYAR TAHUN 2011 Setiawan, Eri
Pendidikan Geografi Vol 1, No 1 (2013)
Publisher : Pendidikan Geografi

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (711.779 KB)

Abstract

ABSTRACTThe research is aimed to : (1) to know sub-class level of actual land suitability for coffee and rubber plant, (2) know sub-class of potential land suitability for coffee and rubber plant, and (3) know coffee and rubber productivity at Jambangan Watersheed in Karanganyar Regency.Based on the result of the research it can concluded as follows: (1) there are 9 subclass actual land suitability for coffe plant, those are : S2 w,r,f,n,s/m,e (0,51%), S3n(7,59%), S3r,n(5,24%), N1r(12,84%), N1r,s/m(14,99%), N1r,e(1,63%), N2r (9,59%), N2s/m (12,45%) and N2s/m,e(0,9%); There are 12 subclass actual land suitability for peanut plant, those are: S3w,n(12,47%), S3w,r,n(8,61%), S3t,w,n (0,84%), N1r (7,70%), N1r,e(1,63%), N1r,s/m (20,77%) ,N2s/m(0,66%), N2w (19,79%), N2s/m,e(0,90%), N2w,r(2,51%), N2w,s/m(10.46%), and N2w,r,s/m(4,90%); (2) Potential land suitability for coffe plant with a medium management level produced eight land suitability subclass include: S2r,s/m, S2w,r,f,n, S2w,r,f,n,s/m, S3r,n; S3r,s/m, S3r,n,s/m, S3r,s/m,e and N1s/m; Potential land suitability for coffe plant with a high management level prodused nine land suitability subclass include S2s/m, S2w,r,f,n, S2w,r,f,n,s/m, S3s/m, S3r,n, S3n,s/m, S3 r,s/m, N1s/m and N1r,s/m; Potential land suitability for rubber plant with medium management level produced 7 subclass suitability include: S2t,w,n, S3r, S3t, S3w,r,n, S3t,w,r,n,s/m,e, N1s/m, N1r,s/m; and Potential land suitability for rubber plant with a high management level prodused six land suitability subclass include: S2t,n, S2w,r,n,s/m, S3t, S3w,r,n, S3t,w,n,s/m and N1s/m.(3) Highest productivity of coffe plants get on land suitability subclass N1r,s/m which is 896 kgs/Ha/year and have the lowest productivity of coffe plants get on land suitability subclass N2s/m is 47 kgs/Ha/year; Highest productivity of Rubber plants get on land suitability subclass S3w,n which is 2137 Kgs/Ha/year and have the lowest productivity of rubber plants get on land suitability subclass N2w,s/m is1618 kgs/Ha/year.Kata kunci : Kesesuaian Lahan, Daerah Aliran Sungai,Tanaman Kopi dan Karet
Analisis Regresi Komponen Utama Robust dengan Metode Minimum Covariance Determinant – Least Trimmed Square (MCD-LTS) Siska Diah Ayu Larasati; Khoirin Nisa; Eri Setiawan
Jurnal Siger Matematika Vol 1, No 1 (2020): Jurnal Siger Matematika
Publisher : FMIPA Universitas Lampung

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (381.312 KB) | DOI: 10.23960/jsm.v1i1.2472

Abstract

Principal Component Regression (PCR) is a method used to overcome multicollinearity problems by reducing the dimensions of independent variables to obtain new simpler variables without losing most of the information contained in the  variables. If the data analyzed contain outliers, a robust method on PCR is required. In this paper we use a robust method which is a combination of Robust Principal Component Analysis using the Minimum Covariance Determinant (MCD) method and Robust Regression Analysis using Least Trimmed Square (LTS) method. The purpose of this study is to examine the robust PCR analysis using the MCD-LTS method and to know the robustness of the method by looking at its sensitivity to outliers. For this purpose  we compared the MCD-LTS PCR  to the classic PCR based on the bias and Mean Square Error (MSE) values on several different sample sizes and percentages of outliers. The results of this study indicate that robust PCR using MCD-LTS is effective and efficient in overcoming the problem of multicollinearity and outliers in regression analysis. 
Model EGARCH dan TGARCH untuk Mengukur Volatilitas Asimetris Return Saham Sofalina Nodra Brilliantya; Khoirin Nisa; Subian Saidi; Eri Setiawan
Jurnal Siger Matematika Vol 3, No 2 (2022): Jurnal Siger Matematika
Publisher : FMIPA Universitas Lampung

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.23960/jsm.v3i2.3111

Abstract

Model Generalized Autoregressive Conditional Heterocedasticity (GARCH) merupakan salah satu pemodelan data deret waktu yang digunakan untuk mengukur data yang memiliki varians residual yang tidak konstan atau bersifat heteroskedastisitas.  Heteroskedastisitas terjadi karena data deret waktu memiliki volatilitas yang tinggi.  Model Exponential GARCH (EGARCH) dan Threshold GARCH (TGARCH) adalah model-model GARCH yang dapat mengatasi efek asimetris pada volatilitas.  Data yang digunakan pada penelitian ini adalah data return saham harian PT KB Bukopin Tbk (BBKP).  Penelitan ini bertujuan untuk menerapkan model EGARCH dan TGARCH serta mendapatkan  model terbaik dalam mengukur volatilitas asimetris data return saham harian.  Pemilihan model terbaik didasarkan pada nilai Akaike Information Criterion (AIC) terkecil.  Hasil analisis menunjukan bahwa model EGARCH (2,1) adalah model terbaik untuk mengukur dan meramalkan volatilitas asimetris return saham yang digunakan.
Analisis Faktor-Faktor Yang Mempengaruhi Pendapatan Pengrajin Mebel Dikecamatan Tamansari Kota Tasikmalaya Eri Setiawan; D. Yadi Heryadi; Dona Setia Umbara
Jurnal Teknologi Pangan dan Ilmu Pertanian Vol. 1 No. 4 (2023): Desember : Jurnal Teknologi Pangan dan Ilmu Pertanian
Publisher : Lembaga Pengembangan Kinerja Dosen

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.59581/jtpip-widyakarya.v1i3.1418

Abstract

Furniture business units in the city of Tasikmalaya altogether had 217 business units in 2018 with an investment value of IDR 28,677,699,000, a production value of IDR 82,656,245,000 and absorbing a workforce of 1,538 people. The aim of this research is to gain a better understanding of the use of raw materials, capital and labor by furniture craftsmen in Tamansari District, Tasikmalaya City. The analytical tools used in this research are multiple regression, coefficient of determination, and hypothesis testing. Multiple regression is used to identify the relationship between independent variables (raw materials, capital, labor) and dependent variables (income of furniture craftsmen). The research results show that raw materials, working capital and labor have a significant influence on the income of furniture craftsmen in Tamansari District, Tasikmalaya City. This means that efficient use of raw materials, capital and labor can increase the income of furniture craftsmen in the region. These results can be used as a basis for developing and improving the business of furniture craftsmen in Tasikmalaya City
The Role of Lecturers in Strengthening Integrity Character as a Bullying Effort at UIN Sunan Kalijaga Yogyakarta Eri Setiawan; Abdul Munip; Ika Kartika; Wulandari
al-Afkar, Journal For Islamic Studies Vol. 7 No. 2 (2024)
Publisher : Perkumpulan Dosen Fakultas Agama Islam Indramayu

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31943/afkarjournal.v7i2.1006

Abstract

The problem of bullying that occurs in the world of education requires a solution to overcome this bullying problem. This research aims to analyze the role of lecturers in strengthening the character of integrity as a bullying effort at UIN SUKA Yogyakarta, so that bullying problems that occur among students do not occur again. This research uses a qualitative method with a case study approach, data collection is by direct observation, interviews and documentation. Data analysis was carried out by researchers by reducing data, displaying data and drawing conclusions. The research results show that the role of lecturers at UIN Sunan Kalijaga Yogyakarta has its own strategy in strengthening the character of integrity so that it has an impact on commendable morals and ethics. The lecturers' strategies in efforts to create anti-bullying include character education and ethical learning, fostering inclusive communities, empowering students to become positive leaders and using case studies and ethical discussions. This strategy was felt by the students to be quite effective, so that students responded well, because students understood and understood the impact on bullying behavior.
Goodness Of Fit Test In Structural Equation Modeling with Unweighted Least Square (ULS) Estimation Method Amanathi, Ani; Setiawan, Eri; Usman, Mustofa
Sciencestatistics: Journal of Statistics, Probability, and Its Application Vol. 1 No. 2 (2023): JULY
Publisher : Universitas Muhammadiyah Metro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24127/sciencestatistics.v1i2.5021

Abstract

Structural equation model (SEM) is a multivariate analysis method that is used to describe a linear relationship simultaneously between indicator variables and latent variables. There are several estimation methods in SEM, one of them is Unweighted Least Square (ULS). The method doesn‟t have specific assumptions about the distribution of variables. This study aims to estimate the model using the ULS method and see the influence of employee competency variables and library facilities on the quality of service at the University of Lampung library. Survey of quality of service in the library of Lampung University is used in the research. Based on the results of the study, it is found that from the three suitability tests, namely the overall model test, the structural model test and the measurement model test using ULS estimation give good results in explaining the compatibility between the model and observation results.
Maximum Likelihood Estimation Approach using the CB-SEM Method: Case Study of Service Quality Oktavia, Putri Meyla; Setiawan, Eri; Nusyirwan, Nusyirwan; Herawati, Netti
Sciencestatistics: Journal of Statistics, Probability, and Its Application Vol. 1 No. 2 (2023): JULY
Publisher : Universitas Muhammadiyah Metro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24127/sciencestatistics.v1i2.5031

Abstract

The purpose of this study to analyze the service level, satisfaction and loyalty of Sariringgung Beach visitors.Covarian based approach to estimatemaximum likelihood method in the service levelto the satisfaction and loyalty of visitorstourism area of Sariringgung Beach is used. The results of this study indicate that the direct effect of service level to satisfaction is 77%, service level to loyalty is 75%. Whereas the indirect effect of service level on loyalty through satisfaction is 38,5%. Then the total effect of service level on customer loyalty through satisfaction is 73,5%.
STRATEGI PENANAMAN NILAI-NILAI CINTA TANAH AIR MELALUI PENDIDIKAN PANCASILA Salfadilah, Fatonah; Amanabella, Maulina; Setiawan, Eri; Rizky, Vega Bintang; Wibowo, Yusuf Rendi
Jurnal Pendidikan Dasar Flobamorata Vol. 5 No. 1 (2024): Jurnal Pendidikan Dasar Flobamorata
Publisher : Program Studi Pendidikan Guru Sekolah Dasar-Universitas Muhammadiyah Kupang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.51494/jpdf.v5i1.1073

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Penelitian ini bermula karena kurangnya kesadaran siswa terhadap nilai-nilai cinta tanah air. Sejatinya, kecintaan terhadap tanah air harus di tumbuh kan sedari dini. Pendidikan Pancasila merupakan mata pelajaran yang berperan besar terhadap pendidikan nasionalisme. Penelitian ini bertujuan untuk mengetahui strategi yang dapat digunakan untuk menanamkan karakter cinta tanah air pada pembelajaran pendidikan Pancasila. Kualitatif deskriptif merupakan metode yang digunakan pada penelitian ini. Informan pada penelitian ini adalah guru kelas. Penelitian ini berlokasi di SD Negeri 14 Way Serdang. Penelitian ini dilakukan pada semester genap April 2023. Hasil penelitian ini menunjukkan bahwa strategi penanaman karakter cinta tanah air dapat ditanamkan melalui kegiatan pembelajaran dan juga melalui pembiasaan-pembiasaan serta melalui nasihat dan keteladanan. Pada kegiatan pembelajaran menggunakan pendekatan Contextual Teaching Learning (CTL). Pembiasaan-pembiasaan yang dilakukan. Seperti, pembiasaan berbahasa Indonesia, menyanyikan lagu-lagu wajib nasional, menginternalisasikan pembelajaran dengan kegiatan upacara bendera, membiasakan siswa ikut serta dalam kegiatan kebudayaan. Adapun faktor pendukung strategi penanaman cinta tanah air ialah tingginya motivasi, semangat, serta antusias siswa, mata pelajaran pendidikan Pancasila, fasilitas yang memadai. Faktor penghambat yaitu perkembangan teknologi yang pesat yang disalah gunakan, lingkungan yang kurang nasionalisme.
Sistem Pengelolaan Dan Pengamanan Arsip Data Letter C Desa (Studi Kasus : Kantor Desa Gondang) Setiawan, Eri; Indyah Hartami Santi
JATI (Jurnal Mahasiswa Teknik Informatika) Vol. 6 No. 2 (2022): JATI Vol. 6 No. 2
Publisher : Institut Teknologi Nasional Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.36040/jati.v6i2.5602

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Letter C merupakan dokumen register pertanahan yang terdapat di desa sebagai bukti kepemilikan tanah secara turun-temurun. Letter C dapat diperoleh dari kantor desa dimana tanah itu berada dan sebagai tanda bukti bahwa tanah yang dikuasai pemilik memiliki catatan di kantor desa. Pengelolaan kearsipan serta penataan yang kurang baik akan menyulitkan dalam hal penemuan kembali data arsip. Pencarian arsip letter C dilakukan berdasarkan nama pemilik tanah sedangkan pada buku arsip pengurutan tidak berdasarkan abjad nama, Sehingga sekretaris desa maupun staff akan mencari lembar demi lembar sampai data yang dicari ditemukan. pencarian data akan membutuhkan banyak waktu dan tenaga serta kurang efektif dan efisien. Letter C termasuk arsip vital yang dijaga kerahasiaan dan keasliannya sehingga perlu dilakukan pengamanan data yaitu enkripsi. Dari masalah tersebut, maka peneliti mengembangkan sistem aplikasi pengelolaan dan pengamanan data arsip berbasis web. Sistem pengelolaan data arsip ini dikembangkan dengan metode System Development Life Cycle (SDLC) model Prototipe dengan pengembangan sistem menggunakan bahasa pemrograman PHP dan database MySQL. Uji coba dan evaluasi sistem menggunakan black box testing, kuisioner pengguna dan validasi ahli IT. Hasil uji coba blackbox testing menujukkan semua fungsi-fungsi aplikasi berjalan dengan baik dengan persentase keberhasilan 100%. Sedangkan hasil evaluasi ke ahli IT mendapat persentase 83,33% dan pengujian ke pengguna mendapat persentase 86% sehingga aplikasi masuk kategori layak untuk digunakan.