Judul: Penerapan Model Autoregressive Conditional Heteroscedasticity (Arch) untuk Menduga Volatilitas Pengembalian Harga Saham (Studi Kasus : Pengembangan Harga Saham PT. Astra Agro Lestari, Tbk)
Abstrak: Penelitian ini dilaksanakan pada bulan Juli 2009 di Kampus Institut Pertanian Bogor – Darmaga. Tujuan penelitian ini adalah memodelkan volatilitas return (pengembalian) harga saham PT. Astra Agro Lestari, Tbk (AALI). Risiko adalah salah satu pertimbangan investor dalam berinvestasi. Risiko dalam praktiknya dicerminkan oleh nilai volatilitas, dalam statistika volatilitas adalah simpangan baku . Data deret waktu bidang keuangan memiliki fluktuasi yang sangat tinggi sehingga menyebabkan ragam tidak konstan. Model Autoregressive Conditional Heteroscedasticity (ARCH) mampu memodelkan ragam yang berubah -ubah setiap waktu. Ada beberapa bentuk ARCH di antaranya ARCH itu sendiri, Generalized ARCH (GARCH), Exponential Generalized ARCH (EGARCH), dan Threshold ARCH (TARCH). Penelitian ini menggunakan model-model tersebut dalam memodelkan heteroscedastisitas ragam. Model ragam yang diperoleh dapat digunakan untuk memprediksi volatilitas mendatang. Dalam penelitian diperoleh model yang cocok untuk memodelkan volatilitas pengembalian harga saham PT. Astra Agro Lestari, Tbk adalah model EGARCH(4,1)
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Judul: Implementation methods of ARCH/GARCH model at closing price of stock in indonesian stock exchange period 2005-2013
Abstrak: Saham merupakan bukti kepemilikan seseorang terhadap suatu Perseroan Terbatas. Harga saham bergerak secara fluktuatif setiap harinya sehingga menyebabkan terjadinya volatilitas. Volatilitas merupakan sebuah pola ragam dari deret waktu, khususnya deret waktu keuangan dan disebut tidak stasioner karena keragamannya yang tidak konstan. Kondisi tersebut memungkinkan terjadinya heteroskedastisitas yang menyebabkan perlu dianalisis lebih lanjut setelah melakukan pemodelan ARIMA Box-Jenskin yaitu memodelkan ragam dengan menggunakan metode Autoregressive Conditional Heteroscedasticity (ARCH) dan Generalized Conditional Heteroscedasticity (GARCH) yang diperkenalkan oleh Robert Engle dan Tim Bollerslev untuk mengatasi masalah heteroskedastisitas. Dari hasil pemodelan data harga penutupan saham diperoleh model terbaik yaitu model rataan ARIMA(1,1,2) dan model ragam GARCH(1,1) yaitu Zt = 1.9999Zt-1 – 0.9999Zt-2 + 0.9072et-1 – 0.0897et-2 + εt. Hal ini berarti ragamnya dipengaruhi oleh kuadrat sisaan dan ragam bersyarat satu periode yang lalu. Hasil dari validasi model didapatkan nilai MAPE sebesar 1.31% dan nilai MAD sebesar 63.8411 sehingga dapat disimpulkan bahwa model yang dihasilkan valid. Kata kunci : ARCH, GARCH, heteroskedastisitas, volatilitas., Stock is proof of person’s ownership to a limited company liability. Stock prices have daily fluctuate moves basis thus causing volatility. Volatility is a variances pattern of time series, especially financial time series, and then that is not stationary causing the variances are not constant. These condition allow for heteroscedasticity, and then need further analysis after doing ARIMA Box-Jenskin’s modeling then doing variances modeling with Autoregressive Conditional Heteroscedasticity (ARCH) and Generelized Autoregressive Conditional Heteroscedasticity (GARCH) introduced by Robert Engle and Tim Bollerslev to solve the problem of heteroscedasticity. From the results of closing prices data modeling we get ARIMA(1,1,2) for the best mean model and GARCH(1,1) for the best variance model. This means that the variances are affected by square residuals and conditional variance. The results obtained from the model validation MAPE value is 1.31% and MAD value is 63.8411 so it can be concluded that the resulting model is valid. Keywords : ARCH, GARCH, heteroscedasticity, volatility
Keyword: ARCH, GARCH, heteroskedastisitas, volatilitas

Judul: Pengembangan Bionanokomposit Film Berbasis Tapioka/Nanopartikel Perak dan Tapioka/Nanopartikel Seng Oksida dengan Plasticizer Gliserol.
Abstrak: Cassava starch can be formed into bioplastic film which is transparance as synthetic plastic films. However, pure cassava starch film has some drawbacks such as brittle, poor barrier to water vapour, sensitive to humidity and not stable during the application. The addition of nanoparticles in film was intended to increase the elongation and tensile strength, moisture stability and to provide antimicrobial activity. Meanwhile, the addition of glycerol was intended to increase the plasticity of films so they will not be easily cracked. The main purpose of this research is to elaborate the functional packaging characteristics of bionanocomposites films made from cassava starch with or without silver nanoparticles (Ag-Np) of zinc oxide nanoparticles (ZnO-Np) with glycerol as plasticizer. The addition of nanoparticles was conducted at the amount of 0%, 0,5%, and 1% by weight of the starch, whereas glycerol was used at the amount of 0% and 20% by weight of the solids (starch only or starch+nanoparticles). The value of water vapor transmission decreased significantly with the addition of Ag-Np and ZnO-Np at the concentration of 1% (from 18,0569 g/hm2 to 12,0574 g/hm2) so it enhance the water barrier of the films as packaging materials. The addition of Ag-Np and ZnO-Np at the amount of 1% with 20% of glycerol was also able to inreased the value of elongation (from 1,2% to 88,8%), but decreased the value of tensile strength (from 22,93 MPa to 4,03 MPa). The addition of glycerol gave contrary effect to the tensile strength because it produces low tensile strength values. Moreover, the results show that films made with ZnO-Np had a stronger antimicrobial activity than those made with Ag-Np for both gram positive and gram negative bacteria. In overall, it seems that the formulation of 1% ZnO-Np is the best formulation for developing bionanocomposite film based on cassava starch.
Keyword: Bionanocomposite Films, Silver Nanoparticle (Ag-Np), Zinc Oxide Nanoparticle (ZnO-Np), Cassava Starch, Antibacterial Films