157 research outputs found
MODELING INDONESIAN LQ45 STOCK MARKET INDEX VOLATILITY (APPLICATION OF GARCH AND BAYESIAN GARCH)
A comparative study has been conducted to examine the performance of the GARCH (Generalized Autoregressive Conditional Heteroscedasticity) model and Bayesian GARCH applied to the daily LQ45 stock market index of the Indonesian Stock Exchange, where the innovations of both models are assumed to follow Student-t. The forecasting performance of both models are evaluated with standard statistical measurement.
The empirical result shows that there a no different performance between these models. This is an indication that bayesian estimation only an alternative method in predicting LQ45 volatility, but not to increase the predictio
Integrating steepest ascent for the taguchi experiment: A simulation study
Many previous researches conveyed the superiority of Steepest Ascent (SA) method to find the optimal area in Response Surface Methodology (RSM) by shifting the experiment factor level. By using this method, Design of Experiment (DoE) is enabled to shift the factor level gradually in the right track, so that the global optimum can be reached. However, the response variable that is commonly optimized by using RSM cannot fulfill the classical statistics assumption of surface regression model. Taguchi’s orthogonal array, as alternative of RSM, gives loose statistics assumptions in performing the analysis. However, Taguchi’s orthogonal array has not
yet been supported to shift the factor level to an optimum direction. Adopting the procedures of RSM in finding the optimal level combination using SA, integrating SA method in the Taguchi experiment is proposed in this paper. This procedure is applied into a simulated response surface. Then, the performance of this procedure is evaluated based on its direction to reach the optimum solution. The simulation data representing the real case is generated for two factors. Then, the proposed procedure is applied. The result of this simulation study shows that the integrated SA method in the Taguchi experiment successfully found the factor level combination that yields optimum response even though it is not as close as possible as the RSM results
Regime Switching GARCH : An Application to Dowjones Index Return
Since firstly proposed by Engle (1982) and Bollerslev (1986), ARCH-GARCH models have been used to describe volatility behaviors of time series, especially in stock market analysis. One of the weaknesses of ARCH-GARCH is its inability to model behavior transition between high volatilities and low volatilities. In this research, markov switching GARCH is investigated and applied to capture the presence of different volatility regimes, i.e. low volatilities regime and high volatility regime in Dowjones index return. However, there is no information to decide which observations belong to each of the regimes, and to account this difficulty, EM algorithm is applied for parameter estimation. The result shows that Dowjones index return includes two volatility regimes. The transition matrix of the model yields that low volatility regime is often happened than the high one
Comparing Statistical Feature and Artificial Neural Networks for Control Chart Pattern Recognition: A Case Study
Control chart has been widely used for monitoring production process, especially in
evaluating the quality performance of a product. An uncontrolled process is usually known by
recognizing its chart pattern, and then performing some actions to overcome the problems. In high
speed production process, real-time data is recorded and plotted almost automatically, and the control
chart pattern needs to be recognized immediately for detecting any unusual process behavior. Neural
networks for automatic control chart recognition have been studied in detecting its pattern. In the field
of computer science, the performance of its automatic and fast recognition ability can be a substitution
for a conventional method by human. Some researchers even have developed newer algorithm to
increase the recognition process of this neural networks control chart. However, artificial approaches
have some difficulties in implementation, especially due to its sophisticated programming algorithm.
Another competing method, based on statistical feature also has been considered in recognition
process. Control chart is related to applied statistical method, so it is not unreasonable if statistical
properties are developed for its pattern recognition. Correlation coefficient, one of classic statistical
features, can be applied in control chart recognition. It is a simpler approach than the artificial one. In
this paper, the comparison between these two methods starts by evaluating the behavior of control
chart time series point, and measured for its closeness to some training data that are generated by
simulation and followed some unusual control chart pattern. For both methods, the performance is evaluated by comparing their ability in detecting the pattern of generated control chart points. As a sophisticated method, neural networks give better recognition ability. The statistical features method simply calculate the correlation coefficient, even with small differences in recognizing the generated pattern compared to neural networks, but provides easy interpretation to justify the unusual control chart pattern. Both methods are then applied in a case study and performances are then measured
On the Markov Switching GARCH: a Brief Introductory
This paper describes briefly about GARCH with regime switching (SW-GARCH) following Markov Chain property. This approach accounts for jumps between volatility regimes which useful to detect some change of policies during the time horizon are running. To show the work of the employing this approach, an implementation through Unilever stock data has been tried. The results show that the data follow the change between two regimes with probability accordingly
Response-surface dan Taguchi : Sebuah alternatif atau kompetisi dalam optimasi secara praktis
Response-surface telah lebih dahulu muncul sebagai alat analisis optimasi pada skala industri. Berbagai asumsi statistika maupun matematika yang melekat pada metode ini, menjadi sebuah keunggulan sekaligus kekurangan dalam aplikasi praktisnya. Keunggulan Response-surface sangat terlihat ketika model matematis memenuhi seluruh asumsi statistik yang melekat sehingga optimasinya menjadi tidak bias. Hasil sebaliknya terjadi ketika salah satu saja asumsi tersebut tidak terpenuhi. Taguchi, hadir beberapa dekade kemudian, dan memberikan tahapan optimasi yang sangat praktis. Dasar pembentukan desain Taguchi tetap mengacu pada desain eksperimen klasik. Namun, tidak adanya asumsi statistik yang mengikuti tahapan analisisnya membuat metode ini banyak dipilih oleh para praktisi. Taguchi tidak mampu memberikan arah optimasi sebagaimana Response-surface mengakomodasi adanya “steepest ascent/descent”. Bagaimanapun, kedua metode ini dapat saling melengkapi ataupun justru menjadi dua metode yang saling berkompetisi dalam proses optimasi mesin produksi. Paper ini akan memberikan gambaran tentang kedua metode, mulai dari dasar tahapan metodologi eksperimennya, proses analisis, hingga bentuk hasil akhir yang didapatkan dari keduanya. Response-surface dan Taguchi, akan menjadi sebuah akternatif bahkan saling melengkapi, ketika tahapan keduanya dikombinasikan dalam tataran prakti
SISTEM INFORMASI AKUNTANSI MANAJEMEN, SISTEM INFORMASI AKUNTANSI, DAN KINERJA MANAJERIAL
This study aims to determine empirical evidence of the influence of the characteristics of management accounting information systems on managerial performance moderated of accounting information systems. This study found that digital skills and aggregation have a higher influence on managerial performance than the effect of boardscope, timelines, aggregation, and integration. The population in this study were leaders and staff of state-owned enterprises that were limited liability companies in West Java. The number of samples used was seventytwo. The expected benefit is to provide input to the company as a material for consideration in designing a company’s management accounting system tailored to business strategy, which has an impact on improving managerial performance
PENERAPAN OPTIMASI MULTIRESPON MENGGUNAKAN HYBRID PRINCIPAL COMPONENT ANALYSIS - TAGUCHI PADA PROSES TURNING MATERIAL POLYACETAL
Polyacetal merupakan material thermoplastic yang sering digunakan untuk menggantikan beberapa aplikasi-aplikasi metal. Proses turning material ini dipengaruhi oleh parameter cutting speed, feed rate, dan nose radius, dengan multirespon yang diukur yakni kekasaran permukaan (Ra), dan laju pemakanan material (MRR). Optimasi parameter mesin turning diterapkan untuk mendapatkan optimalisasi secara simultan untuk kedua respon tersebut. Principal component analysis (PCA) adalah salah satu teknik reduksi multivariabel yang kemudian dikombinasikan dengan eksperimen taguchi (Hybrid PCA-Taguchi) untuk mendapatkan optimasi multirespon. Hybrid PCA-Taguchi mengakomodasi sifat multivariabel secara statistik yang ditangkap oleh PCA lalu mentransformasikan multirespon menjadi respon tunggal, sehingga Taguchi dapat mengoptimalkannya. Metode ini juga tetap dapat mengakomodasi karakteristik kualitas Taguchi, baik smaller-the-better, nominal-the-best maupun larger-the-better. Penerapan metode ini pada proses turning material polyacetal telah memberikan kombinasi parameter optimal untuk dua respon
Reconstruction of the Social Security System Policy in National Development of Indonesia
The implementation of social security and a decent living for the people of Indonesia, as mandated by the 1945 CONSTITUTION, Article 27, paragraph (2), has a long history with various policies and changes over time. It began with the issuance of Law No. 14/1969 concerning Basic Provisions Regarding Manpower, followed by Law No. 3/1992 concerning Social Security for Workers in Indonesia, and up to Law No. 13/2003 concerning Manpower. The social security system still includes social security protection for workers, while national social security for non-worker citizens is implemented sporadically in the form of assistance and social safety net programs with various forms of direct and indirect assistance activities. After the issuance of Law no. 40 of 2004 concerning the National Social Security System, Law No. 36/2009 concerning Health, and Law No. 24/2011 concerning the Social Security Administering Body, as well as their implementing regulations through Government Regulations, Ministerial Regulations, or Decrees, the national social security system policy has been reconstructed in an integrated manner to realize a national social security system for all Indonesian citizens. The role of the government in handling the Covid-19 pandemic from late 2019 to early 2021, with its various policies, has proven that there is a relationship between the existence of a national social security system and economic growth. Socio-economic impacts during the Covid-19 pandemic can be suppressed, and the economy can still grow with various social security policies and health care insurance. However, in the absence of a more comprehensive government policy to create a national social security system, the negative impact on the people\u27s economy continues to occur, driving up the poverty rate. Therefore, the implementation of the national social security system needs to be carried out in a more comprehensive manner, namely by adding the provision of life insurance, accident insurance, and old age insurance for citizens who are not wage earners. This way, they can continue to carry out productive activities with guarantees for themselves and their families. This policy will guarantee the social life of all citizens and will directly or indirectly guarantee the activity and growth of the national economy
INCORPORATING SERVQUAL-QFD WITH TAGUCHI DESIGN FOR OPTIMIZING SERVICE QUALITY DESIGN
Deploying good service design in service companies has been updated issue in improving
customer satisfaction, especially based on the level of service quality measured by
Parasuraman’s SERVQUAL. Many researchers have been proposing methods in designing
the service, and some of them are based on engineering viewpoint, especially by
implementing the QFD method or even using robust Taguchi method. The QFD method
would found the qualitative solution by generating the “how’s”, while Taguchi method
gives more quantitative calculation in optimizing best solution. However, incorporating
both QFD and Taguchi has been done in this paper and yields better design process. The
purposes of this research is to evaluate the incorporated methods by implemented it to a
case study, then analyze the result and see the robustness of those methods to customer
perception of service quality. Started by measuring service attributes using SERVQUAL
and find the improvement with QFD, the deployment of QFD solution then generated by
defining Taguchi factors levels and calculating the Signal-to-noise ratio in its orthogonal
array, and optimized Taguchi response then found. A case study was given for designing
service in local bank. Afterward, the service design obtained from previous analysis was
then evaluated and shows that it was still meet the customer satisfaction. Incorporating
QFD and Taguchi has performed well and can be adopted and developed for another
research for evaluating the robustness of result
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