Volatility Modelling Using Hybrid Autoregressive Conditional Heteroskedasticity (ARCH) - Support Vector Regression (SVR)

High fluctuations in stock returns is one problem that is considered by the investors. Therefore we need a model that is able to predict accurately the volatility of stock returns. One model that can be used is a model Autoregressive Conditional Heteroskedasticity (ARCH). This model can serve as a model input in the Support Vector Regression (SVR) model, known as Hybrid ARCH-SVR. This modeling is one of the alternatives in modeling the volatility of stock returns. This method is able to show a good performance in modeling the volatility of stock returns. The purpose of this study was to determine the stock return volatility models using a Hybrid ARCH-SVR model on stock price data of PT. Indofood Sukses Makmur Tbk. The result shows that the determination of the input variables based on the ARIMA (3,0,3)-ARCH (5), so that the SVR model consists of 5 lags as input vector. Using a this model was obtained that the Mean Absolute Percentage Error (MAPE) of 1,98% and R2 =99,99%

Objektifikasi Undang-Undang Nomor 1 Tahun 1974 Tentang Perkawinan (sebuah Gagasan Pemikiran)

This study analyzes the modern legal formulation in the formulation of Islamic marriage law in Indonesia. Therefore, the objective considerations in establishing the rule of law a marriage becomes absolutely necessary. In addition, the formulation must produce the material marriage laws within the context of socio-cultural and socio-historical Indonesian Islamic community. With the approach of social history, this study would like to assert that the products Islamic marriage law Indonesia should not only by tradition inherited from generation-a generation ago, but required a study approach to social history with attention and consider the social life of the Indonesian Islamic community who step toward community modern Islam. It is characterized by the marriage laws that are applied to the Indonesian Islamic community in the form of legislation, namely Law No. 1 of 1974. When the Indonesian Islamic marriage law has been codified into national law, then the legislation can be regarded as consensus of Indonesia, or can be viewed as an Indonesian fiqh formulations

Perbandingan Pengaruh Interbank Ofered Rate Terhadap Indeks Syariah Di Indonesia Dan Malaysia

This study aimed to determine the correlation of interbank offered rate against Islamic stock index associated with behavioral perspective of inves-tors in the stock market of sharia in each country and to examine whether there is a significant difference between the index of sharia that are in Indo-nesia and Malaysia. This study uses an analytical tool that is by simple line-ar regression statistical test to measure the level of effect between variables partially, with a focus on the two countries, Indonesia and Malaysia in the period 2010-2012. Research outcome of the average monthly on secondary data between period 2010-2012, reveals that in Indonesia, independent vari-able affected significantly to Shariah index JII ( Jakarta Islamic Index ) , but there is a difference, compared with Malaysia that the interbank offered rate did not significantly affect KLSI (Kuala Lumpur Sharia Index)

Acoustic Faraday effect in Tb3_3Ga5_5O12_{12}

The transverse acoustic wave propagating along the [100] axis of the cubic Tb$_3$Ga$_5$O$_{12}$ (acoustic $c_{44}$ mode) is doubly degenerate. A magnetic field applied in the direction of propagation lifts this degeneracy and leads to the rotation of the polarization vector - the magneto-acoustic Faraday rotation. Here, we report on the observation and analysis of the magneto-acoustic Faraday-effect in Tb$_3$Ga$_5$O$_{12}$ in static and pulsed magnetic fields. We present also a theoretical model based on magnetoelastic coupling of 4$f$ electrons to both, acoustic and optical phonons and an effective coupling between them. This model explains the observed linear frequency dependence of the Faraday rotation angle

Mobility-Dependence of the Critical Density in Two-Dimensional Systems: An Empirical Relation

For five different electron and hole systems in two dimensions (Si MOSFET's, p-GaAs, p-SiGe, n-GaAs and n-AlAs), the critical density, $n_c$ that marks the onset of strong localization is shown to be a single power-law function of the scattering rate $1/\tau$ deduced from the maximum mobility. The resulting curve defines the boundary separating a localized phase from a phase that exhibits metallic behavior. The critical density $n_c \to 0$ in the limit of infinite mobility.Comment: 2 pages, 1 figur

Pemodelan Laju Inflasi Di Provinsi Jawa Tengah Menggunakan Regresi Data Panel

Panel regression is a regression which is a combination of cross section and time series. To estimate the panel regression there are 3 approaches, the common effect model (CEM), the fixed effect model (FEM) and the random effect model (REM). In the CEM, the parameters were estimated using the Ordinary Least Square (OLS). In the FEM, the parameters estimated by OLS through the addition of dummy variables. At REM, error is assumed random and estimated by the method of Generalized Least Square (GLS). This study aims to analyze the factors that influence inflation in the Central Java province using panel regression. Based on test result of panel regression, the appropriate model is the CEM. The parameters of model are estimated by using OLS the cross section weights. The model show that the Consumer Price Index (CPI), Minimum Salary of City/Regency (MSCR) and the economic growth significantly effect on percentage of inflation in Central Java Province

Optimasi Value at Risk Pada Reksa Dana Dengan Metode Historical Simulation Dan Aplikasinya Menggunakan Gui Matlab

Value at Risk (VaR) is a method used to measure financial risk within a firm or investment portfolio over a specific time period at certain confidence interval level. Historical Simulation is used in this research to compute VaR of stock mutual fund at 5% confidence interval level, with one day time period and Rp 100.000.000,00 startup investment fund. Historical Simulation ia a non parametric method where the formula doesn't require any asumption. Portfolio optimization is done by calculating the weight of allocation fund for each asset in the portfolio using Mean Variance Efficient Portfolio (MVEP) method. The data in this research are divided into four mutual fund asset. To make VaR become easier for people to understand, an application is made using GUI in Matlab. The smallest risk value for single investment asset is obtained by Valbury Equity I stock mutual fund and the smallest risk value for two-asset portfolio is obtained by the combination assets of Pacific Equity Fund and Valbury Equity I. Meanwhile for three-asset portfolio, the combination assets of Pacific Equity Fund, Valbury Equity I, and Millenium Equity Prima Plus have the smallest risk value. The test result of VaR with Basel Rules shows that the USAge of VaR is legitimate to measure loses potency in mutual fund investment