Judul: Comparison of Symmetric and Asymmetric GARCH Model in Forecasting Jakarta Composite Index 2018-2023
Abstrak: Metode peramalan deret waktu yang sering digunakan adalah metode ARIMA. Metode ARIMA yang menyertakan deret waktu lain sebagai peubah eksogen disebut metode ARIMAX. Metode ARIMAX mengasumsikan ragam sisaan homogen tetapi data dengan volatilitas yang tinggi dapat menyebabkan pelanggaran asumsi tersebut. Metode yang dapat digunakan adalah metode ARCH/GARCH tetapi metode ARCH/GARCH kurang baik dalam memodelkan volatilitas asimetris pada data. Metode lain yang dapat digunakan adalah metode GARCH asimetris seperti TGARCH. Tujuan dari penelitian ini adalah untuk membandingkan akurasi peramalan model simetris ARCH/GARCH dan asimetris TGARCH dalam peramalan data IHSG mingguan periode 1 Januari 2018 sampai 24 April 2023 dengan melibatkan pengaruh COVID-19 sebagai peubah kovariat serta menerapkan beberapa skenario validasi model pada data latih dan data uji. Berdasarkan model terbaik yang terpilih, dilakukan peramalan pada periode 1 Mei 2023 sampai 3 Juli 2023. Data yang digunakan dalam penelitian ini adalah data pembukaan IHSG mingguan periode 1 Januari 2018 sampai 24 April 2023 dengan peubah kovariat berupa periode COVID-19. Model terbaik yang dihasilkan adalah model ARIMAX(3,1,3)-TGARCH(1,2) dengan pengaruh peubah COVID-19 yang signifikan dan rata rata nilai MAPE dari empat skenario data sebesar 3,158%. Peramalan dilakukan dengan hasil peramalan yang cenderung stabil dan selang kepercayaan yang cenderung melebar di setiap periode waktunya., The time series forecasting method that often used is the ARIMA method. The ARIMA method which includes other time series as exogenous variables is called the ARIMAX method. The ARIMAX method assumes a homogeneous residual variance but data with high volatility can cause violations of this assumption. The method that can be used is the ARCH/GARCH method but the ARCH/GARCH method is not good at modeling asymmetric volatility in data. Another method that can be used is an asymmetric GARCH method such as TGARCH. The purpose of this study is to compare the accuracy of the symmetric ARCH/GARCH and asymmetric TGARCH models in forecasting weekly JCI data for the period January 1 2018 to April 24 2023 by involving the influence of COVID-19 as a covariate variable and applying several validation scenario models to training and testing data. Based on the best selected model, forecasting was carried out for the period May 1 2023 to July 3 2023. The data used in this study is weekly JCI opening data for the period January 1 2018 to April 24 2023 with the covariate variable being the COVID-19 period. The best model produced is the ARIMAX(3,1,3)-TGARCH(1,2) model with a significant influence of COVID-19 variables and an average MAPE value of the four data scenarios of 3,158%. Forecasting is done with forecasting results that tend to be stable and confidence intervals that tend to widen in each time period.
Keyword: ARCH, ARIMAX, GARCH, stock prices, TGARCH

Judul: Time Series Data Analysis with Heterogen and Asymmetry Error Variance : Jakarta Composite Index Study for 1999-2008.
Abstrak: Time series data at financial area has value experiencing fluctuate from time to time. This fluctuation results its conditional variance is becoming not constant. So modelling with model ARIMA cannot be applied by assumption of homogeneity of variance is not fufilled. One of way of overcome it is with simultaneously modeling mean function and variance function. The model is recognized as Generalized Autoregressive Conditional Heteroscedasticity (GARCH). Some data financial shows existence of negative relationship between value changes return wit h movement of its volatility. Existence of impairment return has influence larger ones to movement of its volatility. Exponential-GARCH (EGARCH) model can overcome the asymmetric problem with modeling conditional variance as function of log-linear. So conditional variance value predicted negativity will never. Jakarta Composite Index (JCI or IHSG) be one of indicators applied by government in taking policy in the field of chartered investment counsel. Besides government assumes the importance of stock market alternatively defrayal besides banking. A real big fluctuation happened in stock exchange, because every transaction is noted with small time scale so that value change happened so quickly. At this case assumption of homogeneity of variance is not fufilled. At stock exchange also shows existence of asymmetric influence. Hence applied model EGARCH in modeling daily value of JCI (IHSG). Chosen EGARCH model is MA(1)-EGARCH(1,1). EGARCH Model very good in modeling daily value of JCI (IHSG), but have not yet enough good to forecasting value JCI (IHSG ) which will come. Besides forecast to daily value of JCI (IHSG), modelling of variance function also yields forecasting to its conditional variance. Forecast of conditional variance hardly good for asset holder in seeing behavior of movement of JCI (IHSG ) and calculate level of risk holds a leg asset in the future.
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Judul: Sintesis Flavon dari Fenol dan Benzoil Klorida
Abstrak: Flavone is a class of flavonoid, commonly found in plants with wide bioactivity spectrum. A widely used flavone synthesis route is through acidcatalyzed oxidative cyclization of β-diketone. In this study, unsubstituted flavone had been synthesized via 5-step from phenol, with 22% yield and successfully increased the yield of previous study on Fries rearrangement of phenyl acetate and benzoylation of o-HAP steps. Phenol was acetylated resulting 93% phenyl acetate. AlCl3-catalyzed Fries rearrangement in 1.5 hour and at 120 °C converted phenyl acetate into o-hydroxyacetophenone (o-HAP) with 40% yield. AlCl3 as catalyst produced o-HAP with higher and reproducible yield compared with BF3·Et2O and ZnCl2. Benzoylation of o-HAP followed by Baker-Venkataraman rearrangement of the ester product using KOH in dried pyridine produced β-diketone 1-(2- hydroxyphenyl)-3-phenylpropane-1,3-dione. The yield of ester and β-diketone were 71% and 85%, respectively. Finally, oxidative cyclization of β-diketone with sulphuric acid as catalyst produced 99% of flavone. The flavone product had been characterized spectroscopically and its melting point as well.
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