{"title":"Astra Agro Lestari Tbk和Aneka TambangTbk的指数加权移动平均(EWMA)","authors":"Darman Saputra, Hidayati, Sumar, Khairiansyah","doi":"10.2991/icoma-18.2019.49","DOIUrl":null,"url":null,"abstract":"Exponentially Weighted Moving Average Method the standard deviation calculation described in the previous section assumes that the data volatility is constant (homoscedastic) and can not be applied to unstable (heteroscedastic) data volatility.Therefore, one of the approaches to deal with the volatility of non-constant (heteroscedastic) data is the Exponentially Weighted Moving Average (EWMA) method developed. Data collection The data used in this study is daily stock price data from several stocks, namely PT. Agro Lestari (Persero) and Aneka Tambang Tbk which then will be sought stock return. Period of share data used from March 27, 2013 to March 27, 2014.From the result of VaR analysis shows that the risk of buying AALI shares is bigger that is 1050,25274 compared to buying ANTM stock that is equal to 49,7633,766 in year 2013-2014, so this is one of the reference in decision of share in 2014 2015. Assessing VaR this can be a strategy in the company's decision to take stock portfolio policies other. Keywords—Coagulation, Heteroskidastity,VaR EWMA, AALI, ANTM","PeriodicalId":162573,"journal":{"name":"Proceedings of the International Conference on Maritime and Archipelago (ICoMA 2018)","volume":"362 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Exponentially Weighted Moving Average (EWMA) in PT Astra Agro Lestari Tbk and PT Aneka TambangTbk\",\"authors\":\"Darman Saputra, Hidayati, Sumar, Khairiansyah\",\"doi\":\"10.2991/icoma-18.2019.49\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Exponentially Weighted Moving Average Method the standard deviation calculation described in the previous section assumes that the data volatility is constant (homoscedastic) and can not be applied to unstable (heteroscedastic) data volatility.Therefore, one of the approaches to deal with the volatility of non-constant (heteroscedastic) data is the Exponentially Weighted Moving Average (EWMA) method developed. Data collection The data used in this study is daily stock price data from several stocks, namely PT. Agro Lestari (Persero) and Aneka Tambang Tbk which then will be sought stock return. Period of share data used from March 27, 2013 to March 27, 2014.From the result of VaR analysis shows that the risk of buying AALI shares is bigger that is 1050,25274 compared to buying ANTM stock that is equal to 49,7633,766 in year 2013-2014, so this is one of the reference in decision of share in 2014 2015. Assessing VaR this can be a strategy in the company's decision to take stock portfolio policies other. Keywords—Coagulation, Heteroskidastity,VaR EWMA, AALI, ANTM\",\"PeriodicalId\":162573,\"journal\":{\"name\":\"Proceedings of the International Conference on Maritime and Archipelago (ICoMA 2018)\",\"volume\":\"362 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-10-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Proceedings of the International Conference on Maritime and Archipelago (ICoMA 2018)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2991/icoma-18.2019.49\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Proceedings of the International Conference on Maritime and Archipelago (ICoMA 2018)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2991/icoma-18.2019.49","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Exponentially Weighted Moving Average (EWMA) in PT Astra Agro Lestari Tbk and PT Aneka TambangTbk
Exponentially Weighted Moving Average Method the standard deviation calculation described in the previous section assumes that the data volatility is constant (homoscedastic) and can not be applied to unstable (heteroscedastic) data volatility.Therefore, one of the approaches to deal with the volatility of non-constant (heteroscedastic) data is the Exponentially Weighted Moving Average (EWMA) method developed. Data collection The data used in this study is daily stock price data from several stocks, namely PT. Agro Lestari (Persero) and Aneka Tambang Tbk which then will be sought stock return. Period of share data used from March 27, 2013 to March 27, 2014.From the result of VaR analysis shows that the risk of buying AALI shares is bigger that is 1050,25274 compared to buying ANTM stock that is equal to 49,7633,766 in year 2013-2014, so this is one of the reference in decision of share in 2014 2015. Assessing VaR this can be a strategy in the company's decision to take stock portfolio policies other. Keywords—Coagulation, Heteroskidastity,VaR EWMA, AALI, ANTM
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