Judul: Modifikasi Model Rataan Bergerak Terboboti Eksponensial Untuk Menduga Volatilitas Saham di Bursa Efek Indonesia (Studi Kasus: Indeks LQ45).
Abstrak: Accurate volatility modeling is an important issue in finance. A common approach to estimate the volatility of asset returns is to use an exponentially weighted moving average (EWMA) model, a special case of general autoregressive conditional heteroscedasticity (GARCH) model with optimized smoothing weights. The standard EWMA estimator is based on the maximum likelihood estimator of the variance of normal distribution, and is thus optimal when the returns are conditionally normal. Financial asset returns are well-known to be non-normal and leptokurtic. In this research, we propose an alternative EWMA estimator that is robust to leptokurtosis in the conditional distribution of returns. The estimator is based on the maximum likelihood estimator of variance of the power exponential distribution. It is a function of an EWMA of the absolute value of past returns, rather than their squares. The aim of this paper is to compare forecasting performance of this newly developed estimator named Power EWMA with EWMA and GARCH. The data used in this research are daily closing stock prices of LQ45 index in the period of 2002-2011. We found that the Power EWMA has the best performance of the three models with respect to root mean square forecast error.
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Judul: Kajian Model Hidden Markov untuk Menduga Volatilitas Indeks Harga Saham
Abstrak: Volatility is a measure of uncertainty, which is useful for investor to plan a good investment strategy. The problem is that volatility is unobservable, and estimating volatility is not a trivial task. Hidden Markov model is, a model which is consisted of two processes, i.e. observation and a Markov process. The Markov process is assumed to be unobserved (hidden). In this thesis, LQ45 index is considered as the observation process and the unobserved hidden Markov is the volatility. To estimate the volatility of LQ45 index, the model proposed by Rossi and Gallo (2006) is used. The result of the study shows that volatility estimation of the LQ45 index using the model performs well. This is shown by the calculated error using symmetric mean absolute percentage error, which is only about 13.62%.
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Judul: Synthesis of Apatite - Chitosan Composite Using Duck Eggshell and Chitosan with Temperature and pH Control
Abstrak: Composite of apatite-chitosan was prepared by using chitosan as polymer matrix. Calcium phosphate was prepared from CaO and (NH4)2HPO4, which the ratio Ca : P had to be 1.67. Chitosan is produced by deacetilase from biopolymer chitin. Duck eggshell (95% CaCO3) as starting material was converted to be calcium oxide (CaO) through calcinations with temperature 1000oC for 5 hours. In-situ and ex-situ methods were prepared from apatite and chitosan (dissolved with acetate acid 2%). Calcium phosphate prepared for bone implantation, but it is too fragile and brittle to be implant into the body. So addition of chitosan can decrease crystalinity and increase mechanic characteristic (tougher). Composite apatite-chitosan was resulted by fast precipitation. Fast precipitation was held in a breaker glass with nitrogen atmosphere, under controlled temperature at 37oC and pH 7, in order to increase amount of hydroxyapatite. Precipitation with CaO which was dropped by (NH4)2HPO4. Hydroxyapatite and chitosan were appearing at samples with in-situ and ex-situ methods which indicating by peak matching of XRD (closed lattice parameter, crystal size), overlapping at FTIR spectra and supporting by SEM picture (homogenous and agglomerated particle). However, it still needs further research to examine biocompatibility osteoconductive degree of sample by in-vivo and in-vitro test.
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