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Value-At-Risk Analysis Using ARIMAX-GARCHX Approach For Estimating Risk Of Bank Central Asia Stock Returns 利用ARIMAX-GARCHX方法估算中亚银行股票收益的风险价值
Pub Date : 2021-11-10 DOI: 10.30812/varian.v5i1.1474
Felinda Arumningtyas, A. Prahutama, Puspita Kartikasari
Before buying a stock, an investor must estimate the risk which will be received. VaR is one of the methods that can be used to measure the level of risk. Most stock returns have a high fluctuation, so the variant is heteroscedastic, which is thought to be caused by exogenous variables. The time series model used to model data that is not only influenced by the previous period but is also influenced by exogenous variables is ARIMAX. In contrast, the GARCHX model is used to obtain a more optimal stock return data model with heteroscedasticity cases and is influenced by exogenous variables. This study uses the ARIMAX-GARCHX model to calculate the VaR of the stock returns of PT Bank Central Asia Tbk. The exogenous variables used are the exchange rate return of IDR/USD and the return of the JCI in the period January 3, 2017, to March 31, 2021. The best model chosen is the ARIMAX(2,0,1,1)-GARCHX(1,1,1). VaR calculation is carried out with the concept of moving windows with time intervals of 250, 375, and 500 transaction days. The results obtained at the 95% confidence level, the maximum loss obtained by an investor is 1,4%.
在购买股票之前,投资者必须估计将要承担的风险。VaR是衡量风险水平的一种方法。大多数股票收益具有较高的波动性,因此该变量是异方差的,这被认为是由外生变量引起的。用于模拟既受前期影响又受外生变量影响的数据的时间序列模型是ARIMAX。而GARCHX模型是在异方差情况下获得更优的股票收益数据模型,且受外生变量影响。本研究采用ARIMAX-GARCHX模型计算PT Bank Central Asia Tbk股票收益的VaR。使用的外生变量是2017年1月3日至2021年3月31日期间印尼卢比/美元的汇率收益率和JCI的收益率。选择的最佳模型是ARIMAX(2,0,1,1)-GARCHX(1,1,1)。VaR计算是用时间间隔为250、375和500个交易日的移动窗口的概念进行的。在95%置信水平下获得的结果,投资者获得的最大损失为1.4%。
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引用次数: 2
Modeling The Types of Online Learning Media Using Multiple Linear Regression Analysis 基于多元线性回归分析的在线学习媒体类型建模
Pub Date : 2021-11-10 DOI: 10.30812/varian.v5i1.1459
Isma Muthahharah, Inayanti Fatwa
The research objective is to model the types of learning media Whats App Group, Google Classroom, Zoom and YouTube with multiple linear regression analysis. Multiple linear regression analysis is a linear regression model with one continuous variable and k (two or more) independent variables. This type of research is quantitative research that can model several types of online learning. The object of study in this research is STKIP Pembangunan Indonesia students with a sample of 25 people. The source of data comes from primary data by giving questionnaires to students. Based on the results of the analysis, the type of online learning model obtained is = 70, 376 + 0, 357x1 + 0, 322x2 − 0, 279x1 − 0, 321x2 + ε with a contribution of 21.2%. From the resulting regression model, the best learning models or those often used by Lecturers at STKIP development are WhatsApp Group and Google Classroom. In addition to multiple linear regression analysis, other methods can also be used to model types of online learning media with the addition of media such as LMS Moodle, Edmodo and others.
本研究的目的是利用多元线性回归分析对学习媒体what App Group、Google Classroom、Zoom和YouTube的类型进行建模。多元线性回归分析是由一个连续变量和k个(两个或两个以上)自变量组成的线性回归模型。这种类型的研究是定量研究,可以模拟几种类型的在线学习。本研究的研究对象为STKIP Pembangunan印尼学生,样本为25人。数据来源于对学生进行问卷调查的原始数据。根据分析结果,得到的在线学习模型类型为= 70,376 + 0,357x1 + 0,322x2−0,279x1−0,321x2 + ε,贡献率为21.2%。从得到的回归模型来看,最好的学习模型或讲师在STKIP开发中经常使用的模型是WhatsApp Group和Google Classroom。除了多元线性回归分析之外,还可以使用其他方法对在线学习媒体的类型进行建模,例如LMS Moodle, Edmodo等媒体。
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引用次数: 0
Analysis of User Satisfication with Graduates in Statistical Study Program Universitas Terbuka 日本特布卡大学统计研修班毕业生用户满意度分析
Pub Date : 2021-11-10 DOI: 10.30812/varian.v5i1.1331
Siti Hadijah Hasanah, Dewi Juliah Ratnaningsih
Revolution 4.0 requires the Universitas Terbuka Statistics study program to change the educational curriculum that aims to produce quality graduate competencies. Therefore, to collect informationand evaluate the competence of graduates, it is necessary to conduct tracer study research on each graduate. This study aims to measure user satisfaction with graduate competencies using Gap analysis, Importance-Performance Analysis (IPA), Customer Satisfaction Index (CSI), and a multi-attribute Fishbein model. Based on the value of Gap and Science, the main priority that must be improved by graduates to meet user expectations is the ability to solve problems, generate ideas, and be able to present the results of these ideas in the form of reports/journals. The value of the level of suitability between user satisfaction and the importance of the ability of graduates is very good at 92.87% and a CSI value of 78.25%, which means that overall user satisfaction with graduates is good, besides thatbased on the results of the multi-attribute Fishbein model, an Ao value of 158.20 which means that graduate users have a positive attitude towards the abilities of UT Statistics program graduates.
革命4.0要求特布卡大学统计学研究项目改变旨在培养高质量研究生能力的教育课程。因此,为了收集信息和评估毕业生的能力,有必要对每个毕业生进行跟踪研究。本研究旨在运用差距分析、重要性绩效分析(IPA)、顾客满意指数(CSI)及多属性菲什拜因模型来衡量使用者对毕业生胜任力的满意度。基于Gap和Science的价值,毕业生必须提高的主要优先事项是解决问题,产生想法,并能够以报告/期刊的形式呈现这些想法的结果的能力,以满足用户的期望。用户满意度与毕业生能力重要性之间的匹配度值为92.87%,CSI值为78.25%,表明毕业生总体用户满意度较好,此外,根据多属性Fishbein模型的结果,Ao值为158.20,表明毕业生用户对UT统计专业毕业生的能力持积极态度。
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引用次数: 0
Using SAPR Model for Solution of Social Poverty Problem Due to Covid-19 in Makassar City 应用SAPR模型解决新冠肺炎疫情下的望加锡市社会贫困问题
Pub Date : 2021-11-10 DOI: 10.30812/varian.v5i1.1399
S. Annas, S. Side, Andi Muhammad Ridho Yusuf Sainon Andi Pandjajangi, Nurul Fadhilah Syahrul, Luthfiah Arradiah
This study aims to build an SAPR model on the problem of poverty, analyze the model, predict the number of poverty rates in the city of Makassar, and determine the parameters that affect the decrease in the number of poverty rates due to Covid-19 in the city of Makassar. This research is quantitative. The population of this study is the number of people in Makassar City who are affected by the spread of COVID-19, while the sample of this study is 400 people. The research stages are: Building the SAPR model on the level of social poverty, determining and analyzing the stability of the equilibrium point, determining the value of the basic reproduction number (R0), conducting model simulations using Maple. The results shown that the mathematical model of SAPR which is a non-linear system of differential equations can be a reference model for the problem of poverty; The results also shown that the analysis of the social poverty level of the population finds two equilibrium points, namely the free equilibrium point for the poor and the poor; the stability of the equilibrium point is free-poor and poor; The basic reproduction number R0 = 0.426 indicates that the poverty level of the social population can be controlled even though it has increased. Based on the model simulation, it was found that the parameter in the form of business funding assistance from the government could reduce the poverty rate due to the Covid-19 pandemic in Makassar city.
本研究旨在建立一个针对贫困问题的SAPR模型,对模型进行分析,预测望加锡市的贫困率数量,并确定影响望加锡市因Covid-19而贫困率下降的参数。这项研究是定量的。本研究的人口为望加锡市受COVID-19传播影响的人数,本研究的样本为400人。研究阶段为:建立社会贫困水平的SAPR模型,确定和分析平衡点的稳定性,确定基本再生产数(R0)的值,使用Maple进行模型模拟。结果表明,SAPR的数学模型是一个非线性的微分方程组,可以作为研究贫困问题的参考模型;结果还表明,对人口社会贫困水平的分析发现了两个平衡点,即贫困人口的自由平衡点和贫困人口的自由平衡点;平衡点的稳定性是自由差和差的;基本再生产数R0 = 0.426表明社会人口的贫困水平虽然有所增加,但仍在可控范围内。通过模型模拟发现,政府企业资金援助形式的参数可以降低望加锡市因新冠肺炎疫情而导致的贫困率。
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引用次数: 1
Comparative Analysis of The Growth of School Students Using Autoregressive Integrated Moving Average Methods Analisis 运用自回归综合移动平均法对在校学生成长的比较分析
Pub Date : 2021-11-10 DOI: 10.30812/varian.v5i1.1437
K. Kurniawati, Sumeet Goyal, B. B. Mallik, H. R. P. Negara, S. Syaharuddin
This study aims to analyze and predict the number of Elementary School Students using Autoregressive Integrated Moving Average (ARIMA) method using data from the last 17 years, case studies in three provinces namely Bali, West Nusa Tenggara (NTB), and East Nusa Tenggara (NTT). This type of research is quantitative by comparing the final value on the first graph to the fourth graph to analyze on the graph what the predictive value is most accurate. Based on the results of the simulation of the number of elementary school students in Bali, NTB, and NTT provinces using the G-MFS application program and mathematical model calculations that the predicted results in 2021 on the data of the number of elementary school students in Bali province amounted to 417,805.40 with a percentage decrease of 0.1%, then the predicted result in the data of the number of elementary school students in NTB province of 512,381.76 with a percentage increase of 1.0%. The predicted result on the data of the number of elementary school students in NTT province amounted to 705,335.11 with an increase of 1.0%. The results of the forecasting of the number of elementary school students are expected to provide important information for the government to improve development in the education sector, especially at the elementary school education level in one way that is to improve the quality of educational infrastructure and many more developments that need to be done by the number of students in the future.
摘要本研究以巴厘岛、西努沙登加拉省和东努沙登加拉省为研究对象,利用自回归综合移动平均(ARIMA)方法,分析和预测了印尼近17年的小学生数量。这种类型的研究是定量的,通过将第一张图上的最终值与第四个图上的最终值进行比较,在图上分析哪一个预测值最准确。根据G-MFS应用程序对巴厘岛、NTB和NTT省小学生人数的模拟结果和数学模型计算,2021年巴厘岛省小学生人数的预测结果为417,805.40人,百分比下降0.1%。则以NTB省小学生人数为512,381.76人的数据为预测结果,增加1.0%的百分比。对NTT省小学生人数的预测结果为705335.11人,增加了1.0%。小学生人数预测的结果预计将为政府提供重要的信息,以改善教育部门的发展,特别是在小学教育水平上,以提高教育基础设施的质量,以及未来需要通过学生人数来完成的更多发展。
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引用次数: 0
Factors Affecting Dissolved Oxygen at Bengawan Solo River: A Spatial Filtering with Eigenvector Technique 班加湾索罗河溶解氧影响因素:特征向量空间滤波
Pub Date : 2021-11-10 DOI: 10.30812/varian.v5i1.1407
E. Lusiana, A. Darmawan, Sarah Hutahaean, Muhammad Musa, M. Mahmudi, S. Arsad
The quality of the river changes according to the development of the surrounding environment which is influenced by various human activities. Analysis of factors affecting Dissolved Oxygen (DO) at Bengawan Solo River is crucial for river management purpose and pollution control. Previous research suggested the use classic multiple linear regression. However, DO measurement were usually took place of sampling sites along the river channel. Therefore, there is a high chance that the measurements results may spatially correlated. As the consequence, the utilization of multiple linear regression technique for the dataset can be inappropriate. In this paper, we applied a modification of multiple linear regression model to incorporate with spatial autocorrelation that exist in the data by adding control variable such vector eigen to the model which known as Spatial Filtering with Eigenvector (SFE). The results showed that nitrate and nitrite were the predictor variables that have a negative and significant effect. However, the model contains spatial autocorrelation. The application of SFE technique by adding three eigenvectors as control variables in the model succeeded in making the residual model free from spatial autocorrelation. However, a new problem arose where there was a violation of the non-heteroscedasticity assumption.
受各种人类活动的影响,河流的水质随着周围环境的发展而变化。分析班加湾梭罗河溶解氧(DO)的影响因素对河流治理和污染控制具有重要意义。以往的研究建议使用经典的多元线性回归。然而,DO测量通常是在河道沿线的采样点进行的。因此,测量结果很有可能在空间上相关。因此,对数据集使用多元线性回归技术可能是不合适的。本文通过在多元线性回归模型中加入控制变量特征向量(eigen),即特征向量空间滤波(spatial Filtering with Eigenvector, SFE),对多元线性回归模型进行了改进,以吸收数据中存在的空间自相关性。结果表明,硝酸盐和亚硝酸盐是负向显著影响的预测变量。然而,该模型包含空间自相关。通过在模型中加入三个特征向量作为控制变量,应用SFE技术使残差模型摆脱了空间自相关。然而,在违反非异方差假设的情况下,出现了一个新的问题。
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引用次数: 0
Hausman and Taylor Estimator Analysis on The Linear Data Panel Model 线性数据面板模型的Hausman和Taylor估计量分析
Pub Date : 2021-11-10 DOI: 10.30812/varian.v5i1.1481
B. H. S. Utami, A. Irawan, M. Gumanti, Gilang Primajati
Panel data modelling in the field of econometrics applies two main approaches, namely fixed effect estimators and random effects. The application of the Hausman and Taylor estimator to real data is used to test for fixed effects or random effects based on the idea that the set of estimated coefficients obtained from the fixed effect estimates is taken as a group. A good estimator is an estimator that is as close as possible to represent the characteristics of the population. The characteristics of a good estimator include unbiasedness, efficiency, and consistency. The purpose of this study is to identify the properties of the Hausman and Taylor estimator in the linear model of panel data. Based on the analysis using panel data, it is found that the Hausman and Taylor estimator on the random effects panel data is an estimator that is consistent and efficient even though it is not unbiased.
计量经济学领域的面板数据建模主要采用两种方法,即固定效应估计器和随机效应。基于将固定效应估计得到的估计系数集作为一个组的思想,将Hausman和Taylor估计量应用于实际数据,用于检验固定效应或随机效应。一个好的估计量是一个尽可能接近总体特征的估计量。一个好的估计器的特征包括无偏性、效率和一致性。本研究的目的是在面板数据的线性模型中识别Hausman和Taylor估计量的性质。通过对面板数据的分析,发现随机效应面板数据的Hausman和Taylor估计量虽然不是无偏的,但仍然是一致和有效的估计量。
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引用次数: 2
Forecasting Foreign Tourist Visits to West Nusa Tenggara Using ARIMA Method 利用ARIMA方法预测西努沙登加拉外国游客访问量
Pub Date : 2021-11-10 DOI: 10.30812/varian.v5i1.1441
Siti Soraya, Maulida Nurhidayati, Baiq Candra Herawati, Anthony Anggrawan, Lalu Ganda Rady Putra, D. D.
West Nusa Tenggara (NTB) is one of the provinces in Indonesia that has its own charm in the world of tourism and is known as a pioneer of halal tourism. In addition to domestic tourists, NTB tourism always has an attraction for foreign tourists. This is evidenced by the increasing number of foreign tourists visiting NTB from year to year before the Covid-19 pandemic. This condition certainly has a positive impact on increasing NTB’s economic growth in the tourism sector and indirectly on the optimization of existing infrastructure. The purpose of the study is to predict the number of  foreign tourist visits to NTB so that it can assist the government in making decisions in preparing adequate facilities and infrastructure in the event of a surge in tourist visits. The method used in this study is the Box-Jenkins-ARIMA model. The ARIMA method is based on 3 models that are formed from the results of plot data. The data used in this study is secondary data sourced from the Central Statistics Agency (BPS) of West Nusa Tenggara (NTB), from January 2010 to June 2019. The results show that the ARIMA (4,1,1) model is the most widely used model. This model is suitable for predicting the number of foreign tourists visiting NTB because this model produces the lowest SSE and MSE values compared to other models.
西努沙登加拉省(NTB)是印度尼西亚在世界旅游中具有独特魅力的省份之一,被称为清真旅游的先驱。除了国内游客外,北泰克省的旅游业也一直吸引着外国游客。在新冠肺炎大流行之前,每年来新西兰旅游的外国游客数量都在增加。这种情况当然对增加NTB旅游业的经济增长产生积极影响,并间接对现有基础设施的优化产生积极影响。这项研究的目的是预测到NTB的外国游客访问量,以便它可以帮助政府在游客访问量激增的情况下制定决策,准备足够的设施和基础设施。本研究使用的方法是Box-Jenkins-ARIMA模型。ARIMA方法基于3个模型,这些模型是由地块数据的结果形成的。本研究使用的数据是2010年1月至2019年6月期间来自西努沙登加拉(NTB)中央统计局(BPS)的二手数据。结果表明,ARIMA(4,1,1)模型是应用最广泛的模型。与其他模型相比,该模型产生的SSE和MSE值最低,适合于预测NTB的外国游客数量。
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引用次数: 1
PLS-SEM Analysis to Know Factors Affecting The Interest of Buying Halal Food in Muslim Students PLS-SEM分析了解影响穆斯林学生购买清真食品兴趣的因素
Pub Date : 2021-04-30 DOI: 10.30812/VARIAN.V4I2.1141
C. C. Astuti
The increase of halal food products has led to increase in culinary tourism in recent years. One of the districts that has experienced a rapid increase in culinary tourism is Sidoarjo Regency. The development of culinary tourism in the last few years in Sidoarjo Regency generally targets are the students. This study will aim to determine the factors that influence the interest in buying halal food and what factors have the greatest influence on the interest in buying halal food. The analysis technique uses the Partial Least Squares Structural Equation Modeling (PLS-SEM. Based on the results of the analysis, it is known that of the 5 predictor variables used in the analysis process, there are 4 variables that have a significant effect on Purchase Interest (Y). It can be concluded that increasing of Halal Awareness (X1), Halal Certification (X2), Health (X3) and Value Perception (X5) will further increase Purchase Interest (Y). Meanwhile, based on value of coefficient on each variable, it is known that Health  (X3) has the largest coefficient value (0.260), so it can be concluded that Health (X3) has the greatest influence on Purchase Interest (Y).
近年来,清真食品的增加导致了烹饪旅游的增加。Sidoarjo Regency是美食旅游迅速增长的地区之一。烹饪旅游的发展在过去的几年里,在西多阿霍摄制一般的目标是学生。本研究旨在确定影响购买清真食品兴趣的因素,以及哪些因素对购买清真食品兴趣的影响最大。分析技术采用偏最小二乘结构方程模型(PLS-SEM)。根据分析结果可知,在分析过程中使用的5个预测变量中,有4个变量对购买兴趣(Y)有显著影响,可以得出清真意识(X1)、清真认证(X2)、健康(X3)和价值感知(X5)的增加会进一步增加购买兴趣(Y),同时根据各变量的系数值可知,健康(X3)的系数值最大,为0.260。因此可以得出健康(X3)对购买兴趣(Y)的影响最大。
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引用次数: 4
Mengetahui Adanya Pengaruh Pemanfaatan Teknologi Ponsel Dan Smart Phone Terhadap Peningkatan Produktifitas Industri Rumahan Di Lombok 了解到手机技术和智能手机对龙目岛家庭生产力提高的影响
Pub Date : 2019-10-30 DOI: 10.30812/varian.v3i1.484
Muhammad Munawir Gazali, Heroe Santoso, Raisul Azhar
The implementation of Productivity Enhancement activities for Home Industry players (HI) through Information Communication of Technology (ICT) or Utilization of Information and Communication Technology (ICT) is a program of the Ministry of Women's Empowerment and Child Protection (KPPPA) in collaboration with the Association of Higher Education Informatics and Computers ( APTIKOM). This program was carried out in order to improve the economy of women, so that home industry players in Indonesia, especially in West Nusa Tenggara (NTB) in order to develop better and more able to increase productivity and computer science. With ICT training, it will certainly be able to improve its quality especially in utilizing technology or the digital era in an effort to market products by no longer using manual systems. With the digital era, IRs can market their products with On Line systems. Especially in the face of the era of globalization, they will be able to take advantage of existing sites, how to find products, how to determine the price of how to create e-mails and how to use social media or to develop creative businesses.
通过信息通信技术(ICT)或信息通信技术(ICT)的利用为家庭产业参与者(HI)实施生产力提高活动是妇女赋权和儿童保护部(KPPPA)与高等教育信息和计算机协会(APTIKOM)合作的一项计划。该方案的实施是为了改善妇女的经济状况,使印度尼西亚的家庭工业参与者,特别是在西努沙登加拉(NTB),能够更好地发展和更有能力提高生产力和计算机科学。通过信息和通信技术培训,它肯定能够提高其质量,特别是在利用技术或数字时代,努力通过不再使用手动系统来销售产品。随着数字时代的到来,IRs可以通过在线系统来推销他们的产品。特别是在面对全球化时代,他们将能够利用现有的网站,如何找到产品,如何确定价格,如何创建电子邮件和如何使用社交媒体或发展创意业务。
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引用次数: 1
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