EMAIL: PASSWORD:
Front Office
UPT. PERPUSTAKAAN
Institut Teknologi Sepuluh Nopember Surabaya


Kampus ITS Sukolilo - Surabaya 60111

Phone : 031-5921733 , 5923623
Fax : 031-5937774
E-mail : libits@its.ac.id
Website : http://library.its.ac.id

Support (Customer Service) :
timit_perpus@its.ac.id




Welcome..guys!

Have a problem with your access?
Please, contact our technical support below:
LIVE SUPPORT


Moh. Fandika Aqsa


Davi Wahyuni


Tondo Indra Nyata


Anis Wulandari


Ansi Aflacha




ITS » Undergraduate Theses » Statistika
Posted by dewi007 at 16/01/2010 10:23:30  •  4812 Views


PERBANDINGAN UNCONDITIONAL LEAST SQUARE DAN ALGORITMA GENETIKA DALAM ESTIMASI PARAMETER MODEL GARCH STUDI KASUS NILAI TUKAR POUNDSTERLING DAN DOLLAR CANADA TERHADAP RUPIAH

COMPARISON OF UNCONDITIONAL LEAST SQUARE AND GENETIC ALGORITHM FOR GARCH PARAMETERS ESTIMATION Case Study Poundsterling and Canadian Dollar Exchange Rates Against Rupiah

Author :
Qohar, Abdul 




ABSTRAK

Proses-proses finansial seperti perubahan nilai tukar mata uang seringkali mengandung unsur heterokedastisitas. Generalized Autoregressive Conditional Heterocedasticity GARCH merupakan salah satu metode time series yang mampu mengatasi kasus heterokedastisitas. Algoritma genetika merupakan suatu metode alternatif yang dapat digunakan untuk menyelesaikan masalah-masalah optimasi. Pada penelitian ini nilai tukar mata uang Poundsterling dan Dollar Canada terhadap Rupiah akan dimodelkan dengan model GARCH. Metode Unconditional Least Square ULS dan algoritma genetika digunakan untuk menduga nilai parameter model GARCH. Pada kedua kasus nilai tukar tersebut algoritma genetika menghasilkan model peramalan yang lebih baik dibandingkan metode ULS. Hal itu terlihat dari nilai Mean Square Error MSE dan nilai Mean Absolute Percentage Error MAPE model GARCH dengan algoritma genetika yang lebih kecil dibandinkan nilai MSE dan MAPE model GARCH dengan ULS. Pada kasus nilai tukar Poundsterling terhadap Rupiah metode algoritma genetika menghasilkan nilai MSE dan MAPE sebesar 14726.1395 dan 0.3345 sedangkan nilai MSE dan MAPE model GARCH dengan ULS sebesar 113533.7 dan 1.3807. Pada kasus kedua nilai MSE dan MAPE modelGARCH dengan algoritma genetika sebesar 5140.6268 dan 0.6581 sedangkan nilai MSE dan MAPE model GARCH dengan ULS sebesar 42634.37 dan 2.0238 .


ABSTRACT

Financial Process such as exchange rate volatility often contains heterocedasticity. Generalized Autoregressive Conditional Heterocedasticity GARCH is one of time series method that capable to solve the heterocedasticity. Genetic algorithm is an alternative method which can be used to solve the optimation problems. In this research Poundsterling and Canadian Dollar exchange rates against Rupiah will be modelled using GARCH. Unconditional Least Square ULS and genetic algorithm is used to estimate the GARCH parameters. In that cases genetic algorithm yield the better forecasting model. That matter is seen from Mean Square Error MSE and Mean Absolute Percentage Error MAPE of GARCH model from genetic algorithm which is smaller than MSE and MAPE of GARCH model with ULS method. In the case of British Poundsterling exchange rate against Rupiah genetic algorithm method yield the value of MSE and MAPE equal to 14726.1395 and 0.3345 while MSE and MAPE of GARCH model with ULS method is equal to 113533.7 and 1.3807. In second case MSE and MAPE of genetic algorithm method is equal to 5140.6268 and 0.6581 while MSE and MAPE of GARCH model with ULS method is equal to 42634.37 and 2.0238 .



Keywordsalgoritma genetika ; GARCH ; MAPE ; MSE ; Unconditional Least Square
 
Subject:  analisis waktu
Contributor
  1. Ir. Dwiatmono Agus Widodo, M.Ikom
Date Create: 16/01/2009
Type: Text
Format: pdf.
Language: Indonesian
Identifier: ITS-Undergraduate-3100007029712
Collection ID: 3100007029712
Call Number: RSSt 519.55 Qoh p


Source
undergraduate Theses of Department Statistics, RSSt 519.55 Qoh p, 2007

Coverage
ITS Community Only

Rights
Copyright @2007 by ITS Library. This publication is protected by copyright and permission should be obtained from the ITS Library prior to any prohibited reproduction, storage in a retrievel system, or transmission in any form or by any means, electronic, mechanical, photocopying, recording, or likewise. For information regarding permission(s), write to ITS Library




[ Download - Summary ]

ITS-Undergraduate-3100007029712-8107.pdf




 Similar Document...




! ATTENTION !

To facilitate the activation process, please fill out the member application form correctly and completely

Registration activation of our members will process up to max 24 hours (confirm by email). Please wait patiently

POLLING

Bagaimana pendapat Anda tentang layanan repository kami ?

Bagus Sekali
Baik
Biasa
Jelek
Mengecewakan





You are connected from 75.101.220.230
using CCBot/2.0 (https://commoncrawl.org/faq/)



Copyright © ITS Library 2006 - 2020 - All rights reserved.
Dublin Core Metadata Initiative and OpenArchives Compatible
Developed by Hassan