Judul: Comparison of Implied Volatility and Historical Volatility Model in Estimating Value at Risk
Abstrak: Karya ilmiah ini bertujuan membandingkan keakuratan model volatilitas berdasarkan historical volatility (HV) dan implied volatility (IV) dalam hal pendugaan Value at Risk (VaR) return dari indeks saham S&P 500, Dow Jones Industrial Average (DJIA) dan Nasdaq 100 dengan periode waktu yang digunakan bergantung pada ketersediaan adanya volatilitas pada masing-masing indeks saham. Pemodelan HV menggunakan dua pendekatan, yaitu pendugaan HV dan pemodelan GJR-Garch, sedangkan pemodelan IV menggunakan tiga pendekatan yaitu, pendugaan implied volatility serta volatility risk premium (VRP) secara non-parametrik dan parametrik. Pendugaan VaR dilakukan menggunakan filtered historical simulation (FHS). Validitas dari model yang diperoleh diuji menggunakan backtesting dengan tingkat kepercayaan 95%. Hasil backtesting menyatakan bahwa pendugaan VaR pada model HV akurat untuk semua pendekatan, sedangkan pendekatan pada setiap model IV tidak akurat., This scientific work aims to compare the accuracy of the volatility model based on historical volatility (HV) and implied volatility (IV) in terms of estimating Value at Risk (VaR) returns from the S&P 500, Dow Jones Industrial Average (DJIA), Nasdaq 100 stock indices with different time periods used depending on the availability of volatility in each stock index. HV modeling uses two approaches, namely HV estimation and GJR-Garch modeling while modeling IV uses three approaches, namely, estimating implied volatility and volatility risk premium (VRP) non-parametric and parametric. VaR estimation is done using filtered historical simulation (FHS). The validity of the model obtained was tested using backtesting with a confidence level of 95%. The backtesting results state that the VaR estimation in the HV model is accurate for all approaches, while the approach in each model IV is inaccurate.
Keyword: Value at Risk, volatilitas, implied volatility, historical volatility

Judul: Comparative Analysis of Optimal Portfolio Using Markowitz Model and Single Index Model Based on Value at Risk (VaR)
Abstrak: Investasi merupakan salah satu variabel penentu dan berpengaruh positif terhadap pertumbuhan ekonomi (PDB). Berinvestasi pada saham dengan kapitalisasi pasar besar akan meningkatkan pertumbuhan IHSG. IDX80 merupakan indeks yang terdiri dari 80 saham yang memiliki likuiditas tinggi, kapitalisasi pasar besar, dan fundamental perusahaan yang baik. Penelitian ini bertujuan untuk mencari kombinasi saham yang memenuhi kriteria dalam pembentukan portofolio optimal berdasarkan model Markowitz dan Single Index Model serta mencari kinerja portofolio optimal terbaik menggunakan Value at Risk. Penelitian ini menggunakan data harga saham bulanan, IHSG, dan suku bunga acuan BI7DRR periode Februari 2019–Februari 2022. Hasil penelitian menunjukan bahwa terdapat 17 kombinasi saham yang membentuk portofolio optimal Single Index Model dengan expected return sebesar 0,01882 dan nilai varian sebesar 0,002582 perbulan. Sedangkan portofolio optimal yang terbentuk dengan model Markowitz menghasilkan enam kombinasi saham, expected return dan varian masing-masing sebesar 0,002243 dan 0,003866 per bulan. Berdasarkan hasil perbandingan menggunakan Value at Risk, portofolio optimal menggunakan metode Single Index Model lebih baik dibandingkan dengan model Markowitz karena memiliki expected return tertinggi, varian terbaik, kemungkinan kerugian terendah, dan kinerja portofolio terbaik., Investment is one of the determining variables and has a positive effect on economic growth (GDP). Investing in stocks with large market capitalization will increase JKSE growth. IDX80 is an index consisting of 80 stocks that have high liquidity, large market capitalization, and good company fundamentals. This study aims to find a combination of stocks that meet the criteria in forming an optimal portfolio based on the Markowitz model and the Single Index Model also to find the best portfolio performance using Value at Risk. This study uses reports of monthly stock price, JKSE, and interest rates BI7DRR period February 2019– February 2022. The results show there are 17 stocks combination form the optimal portfolio of the Single Index Model with an expected return of 0,01882 and a variance value of 0,002582 per month. While the optimal portfolio formed by the Markowitz model produces six stocks combination, the expected return and variance are 0,002243 and 0,003866 per month, respectively. Based on comparison using Value at Risk, the optimal portfolio by the Single Index Model is better than the Markowitz model because it has the highest expected return, the best risk, the lowest possible loss, and the best portfolio performance.
Keyword: Single Index Model, Value at Risk (VaR), IDX80 Index, Optimal Portofolio, Markowitz Model

Judul: Codiaeum Malesia
Abstrak: The Malesian genus Codiaeum has been revised based on the morphological character using available herbarium collections in Herbarium Bogor iense and loan specimens from Rijksherbarium Leiden. The study is based on the observation of 350 specimens. Eleven species have been recognized, namely Codiaeum variegatum, C. luzonicum, C. palawanense, C. trichocalyx, C. megalanthum, C. cilliatum, C. affine, C. tenerifolium dan C. hirsutum, C. macgregorii, C. ludovicianum. number of species is found in the Philippines The highest (8 species), Two species (C. tenerifolium and C. ludovicianum) endemic in Lousiade Archipelago of the New Guinea and C. affine endemic in Banguey Island. C. variegatum is widespread by nature or in cultivation almost in all of Malesian region. C. cillia tum is a species in the earliest level among the other species according to 20 selected characters.
Keyword: Codiaeum, Malesia