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All Journal IJoICT (International Journal on Information and Communication Technology)
Agnes Zahrani
Telkom University
Computer Science & IT

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STL Decomposition and SARIMA Model: The Case for Estimating Value-at-Risk of Covid-19 Increment Rate in DKI Jakarta Agnes Zahrani; Aniq A. Rohmawati; Siti Sa’adah
International Journal on Information and Communication Technology (IJoICT) Vol. 7 No. 2 (2021): December 2021
Publisher : School of Computing, Telkom University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21108/ijoict.v7i2.553

Abstract

In this research, we propose an extreme values measure, the Value-at-Risk (VaR) based Seasonal Trend Loess (STL) Decomposition and Seasonal Autoregressive Integrated Moving Average (SARIMA) models, which is more sensitive to the seasonality of extreme value than the conventional VaR. We consider the problem of the seasonality and extreme value for increment rate of Covid-19 forecasting. For stakeholder, government and regulator, VaR estimation can be implemented to face the extreme wave of new positive Covid-19 in the future and minimize the losses that possibly affected in term of financial and human resources. Specifically, the estimation of VaR is developed with the difference lies on parameter estimators of STL and SARIMA model. The VaR has coverage probability as well as close 1-α. Thus, we propose to set α as parameter to estimate VaR. Consequently, the performance of VaR will depend not only on parameter model but also α. Our aim estimates VaR with minimum α based on correct VaR value. Numerical analysis is carried out to illustrate the estimative VaR.
Co-Authors Aniq A. Rohmawati Siti Sa’adah