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All Journal Jurnal Pendidikan Akuntansi Indonesia Jurnal Veteriner Jurnal Kesehatan Masyarakat Jurnal Gaussian Jurnal Ilmiah Mahasiswa FEB Jurnal Biologi dan Pembelajarannya (JBP) Biosel: Biologi Science and Education SEIKO : Journal of Management & Business Abdimas Umtas : Jurnal Pengabdian kepada Masyarakat Jurnal Riset Akuntansi Aksioma Jurnal Sains dan Teknologi Laboratorium Medik Prosiding University Research Colloquium Biology Natural Resources Journal Riset Sains dan Teknologi Kelautan Jurnal Kebidanan Bestari
ANNISA RAHMAWATI
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Journal : Jurnal Gaussian

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STRUCTURAL VECTOR AUTOREGRESSIVE UNTUK ANALISIS DAMPAK SHOCK NILAI TUKAR RUPIAH TERHADAP DOLAR AMERIKA SERIKAT PADA INDEKS HARGA SAHAM GABUNGAN Annisa Rahmawati; Di Asih I Maruddani; Abdul Hoyyi
Jurnal Gaussian Vol 6, No 3 (2017): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (603.364 KB) | DOI: 10.14710/j.gauss.v6i3.19302

Abstract

Instability and depreciation of the rupiah be a motivating factor for investors to pull out a portfolio in Indonesia. The weakening of rupiah led to a decline in investor demand for stocks. Measurement of stock price fluctuations or portfolio using the Composite Stock Price Index (CSPI). The exchange rate and CSPI is a sensitive macroeconomic variables affected by shock and it takes restriction of macroeconomic structural model. Based on this, Structural Vector Autoregressive (SVAR) model is used. The purpose of this thesis is to analyze the impact of the exchange rate shock on CSPI through the description of Structural Impulse Response Function and Structural Variance Decomposition modeling based on a restriction on SVAR. SVAR also called the theoretical VAR used to respond to criticism on the VAR model where necessary the introduction of restrictions on economic models. By using daily data exchange rate of the rupiah against the US dollar and CSPI from January 2013 to December 2016 acquired the VAR model is stable and meets the white noise assumption as the basis for modeling residual SVAR and has a short-term restriction. The response of CSPI from the impact of the shock rupiah exchange rate is likely to experience an increase, while the response to the shock CSPI itself is fluctuating but tends to decrease. Patterns proportion shock effect on the exchange rate is increasingly rising stock index in the period of time, whereas the effect of the shock CSPI itself getting down on each period of time. Keywords : exchange rate, CSPI, SVAR, Structural Impulse Response Function, Structural Variance Decomposition
IDENTIFIKASI CURAH HUJAN EKSTREM DI KOTA SEMARANG MENGGUNAKAN ESTIMASI PARAMETER MOMEN PROBABILITAS TERBOBOTI PADA NILAI EKSTREM TERAMPAT (Studi Kasus Data Curah Hujan Dasarian Kota Semarang Tahun 1990-2013) Annisa Rahmawati; Agus Rusgiyono; Triastuti Wuryandari
Jurnal Gaussian Vol 3, No 4 (2014): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (553.692 KB) | DOI: 10.14710/j.gauss.v3i4.8067

Abstract

The methods used to analyze extreme rainfall is the Extreme Value Theory (EVT). One of the approaches of EVT is the Block Maxima (BM) which follows the distribution of Generalized Extreme Value (GEV). In this study, the dasarian rainfall data of 1990-2013 in the Semarang City is divided based on block monthly and the month examined are October, November, December, January, February, March and April. The resulted blocks are 24 with 3 observations each block. Estimated parameter of form, location and scale are obtained by using the method of Probability Weight Moments (PWM). The result of this study is January has the greatest occurrence chance of extreme value with the value of estimated parameter of form 0,3840564, location 138,8152989 and scale 68,6067117. In addition, the alleged maximum value of dasarian rainfall obtained in a period of 2, 3, 4, 5 and 6 years are 243,45753 mm, 308,23559 mm, 357,26996 mm, 397,96557 mm and 433,28889 mm. Keywords: rainfall, Extreme Value Theory, Block Maxima, Generalized Extreme Value, Probability Weight Moments
Co-Authors Abdul Hoyyi Ade Damayanty Vina Giovani Aftina Nurul Husna Agus Rusgiyono Agustina Dwi Wijayanti Ari Kamayanti Ayun Sriatmi Baso R Darmayanti Darmayanti Dewi Agus Cahyani Di Asih I Maruddani Dwi Cahyo Budi Setiawan Elysa Diana Puspitasari Fredirikus Bayu Kurniawan Gagak Donny Satria GS , Achmad Daengs Isroah Isroah Khurin Wardana Putri Kurniahu, Hesti Lidia Djaswadi Dasuki Muhammad Hakimi Hastuti Mardiyani, Ridha Nisa Hakimah Prayogo Agus Kuncoro Puspa Wikan Sari Rafidah RAfidah Savara Salsabila Sriwulan, Sriwulan Sutopo Patria Jati Tri Wahyuni Triastuti Wuryandari