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: Systematics of Desmos (Annonaceae) in Malesia
Abstrak: Desmos is a woody climbing genus of Annonaceae which has been widely used as traditional medicine in several countries such as China, Indo-China, Thailand, and Peninsular Malaysia to treat dysentery, vertigo, fever, and postpartum. Phylogenetic studies on Desmos showed a close relationship between Desmos and Dasymaschalon. They share similar moniliform monocarpic fruits, but their flowers are different. It has been debated among Annonaceae researchers whether both genera should be treated as the same or distinct genus. Therefore, investigation on the taxonomic delimitation of Desmos species and Dasymaschalon will be necessary. Plastid genome (plastome) identification, leaf epidermal section of Desmos species and Dasymaschalon species, a taxonomic revision of Desmos in Malesia using morphological data, the spatial distribution of Desmos species in Malesia, and morphological and genetic variation in Desmos chinensis population using ISSR marker were used to investigate taxonomic delimitation of Desmos. Plastome study of Desmos chinensis and Dasymaschalon dasymaschalum was carried out to determine the origin, evolution, phylogenomics, and identify marker candidates for Desmos and Dasymaschalon or with other genera in Annonaceae. We discovered that the plastome of Desmos chinensis was circular with the size of 167,677 bp (smaller than Dasymaschalon dasymaschalum), consist of 111 genes, including 78 protein-coding genes, 29 transfer RNAs, and 4 ribosomal RNAs. The plastome showed a typical quadripartite structure, i.e., large single copy (LSC), small single copy (SSC), and two inverted repeats (IRs). The plastome of Dasymaschalon dasymaschalum was 191,488 bp in length, which also exhibited a typical quadripartite structure (LSC, SSC, and two IRs). Desmos chinensis and Dasymaschalon dasymaschalum showed different copies of accD, ndhD, ndhF, rps18, and ycf2. Protein coding genes of rpoB, rpoC1, rbcL, matK, rpl32, infA, and rpl36 were identified based on nucleotide diversity, sequence variability, and parsimony-informative sites. The genes are defined as molecular marker candidates of plastome for phylogenetic, barcoding, and population genetic research. We predicted that Desmos chinensis and Dasymaschalon dasymaschalum separated at ca. 64 million years ago during the Paleocene. Leaf anatomical feature study was carried to support the taxonomic delimitation of interspecific Desmos and intergeneric of Desmos and Dasymaschalon. Leaf anatomy in the paradermal section of 20 taxa (12 species of Desmos, eight species of Dasymaschalon) have been carried out. According to the leaf epidermal section, Desmos and Dasymaschalon are two distinct genera mainly distinguished based on the anticlinal wall undulation of epidermal cells and supported by variation of the crystal type and size. The anticlinal wall undulation of Desmos was almost straight to slightly wavy and never sinuous; meanwhile, Dasymaschalon varies from almost straight to deeply sinusoid. The crystals of Desmos consist of rhombohedral, druse type A, and druse type B crystals, whereas Dasymaschalon has prism, druse type A, druse type B, and druse type C crystals. The recent taxonomic revision using the morphological data was mainly based on the examination of about 1374 specimens from BO, L, WAN, ANDA, SING, SAN, K, P, HUH herbaria. The Desmos species in Malesia consists of eight species: D. acutus, D. chinensis, D. chryseus, D. dunalii, D. pedunculosus, D. subbiglandulosus, two new records: D. lawii and D. macrocarpus, and one
Keyword: Dasymaschalon, Desmoid clade, Magnoliid, plastid genome, phylogenomics analysis