A PERAMALAN VOLATILITAS RETURN NILAI TUKAR RUPIAH TERHADAP US DOLLAR MENGGUNAKAN METODE EGARCH, TGARCH, DAN APARCH
Exchange rates play a crucial role among macroeconomic variables, exerting a significant influence on a country's economic landscape. Fluctuations in these rates can impact a nation's stability and economic activities. Consequently, it becomes essential to engage in forecasting endeavors,...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Universitas Udayana
2024-01-01
|
| Series: | E-Jurnal Matematika |
| Online Access: | https://ojs.unud.ac.id/index.php/mtk/article/view/112737 |
| _version_ | 1797303267994107904 |
|---|---|
| author | MADE NONIK PRAMESTI KARANA I WAYAN SUMARJAYA KARTIKA SARI |
| author_facet | MADE NONIK PRAMESTI KARANA I WAYAN SUMARJAYA KARTIKA SARI |
| author_sort | MADE NONIK PRAMESTI KARANA |
| collection | DOAJ |
| description | Exchange rates play a crucial role among macroeconomic variables, exerting a significant influence on a country's economic landscape. Fluctuations in these rates can impact a nation's stability and economic activities. Consequently, it becomes essential to engage in forecasting endeavors, particularly in predicting the exchange rate of the rupiah against foreign currencies, with a focus on the US dollar. Certain instances in financial data reveal an asymmetric volatility response, often referred to as the leverage effect. To address this challenge, asymmetric GARCH models, including EGARCH, TGARCH, and APARCH, prove instrumental. This research endeavors to identify the most effective model among EGARCH, TGARCH, and APARCH using data pertaining to the rupiah's exchange rate against the US Dollar from March 2, 2020, to June 2, 2022. The findings indicate that the APARCH (1,2) model stands out as the optimal choice for predicting volatility, boasting the smallest AIC value in comparison to its counterparts. As per the research outcomes, volatility witnessed a decline from the initial day to the fourteenth day. |
| first_indexed | 2024-03-07T23:50:26Z |
| format | Article |
| id | doaj.art-b2eddcb2bc74433e85c040193672674a |
| institution | Directory Open Access Journal |
| issn | 2303-1751 |
| language | English |
| last_indexed | 2024-03-07T23:50:26Z |
| publishDate | 2024-01-01 |
| publisher | Universitas Udayana |
| record_format | Article |
| series | E-Jurnal Matematika |
| spelling | doaj.art-b2eddcb2bc74433e85c040193672674a2024-02-19T07:35:35ZengUniversitas UdayanaE-Jurnal Matematika2303-17512024-01-01131828810.24843/MTK.2024.v13.i01.p445112737A PERAMALAN VOLATILITAS RETURN NILAI TUKAR RUPIAH TERHADAP US DOLLAR MENGGUNAKAN METODE EGARCH, TGARCH, DAN APARCHMADE NONIK PRAMESTI KARANAI WAYAN SUMARJAYAKARTIKA SARIExchange rates play a crucial role among macroeconomic variables, exerting a significant influence on a country's economic landscape. Fluctuations in these rates can impact a nation's stability and economic activities. Consequently, it becomes essential to engage in forecasting endeavors, particularly in predicting the exchange rate of the rupiah against foreign currencies, with a focus on the US dollar. Certain instances in financial data reveal an asymmetric volatility response, often referred to as the leverage effect. To address this challenge, asymmetric GARCH models, including EGARCH, TGARCH, and APARCH, prove instrumental. This research endeavors to identify the most effective model among EGARCH, TGARCH, and APARCH using data pertaining to the rupiah's exchange rate against the US Dollar from March 2, 2020, to June 2, 2022. The findings indicate that the APARCH (1,2) model stands out as the optimal choice for predicting volatility, boasting the smallest AIC value in comparison to its counterparts. As per the research outcomes, volatility witnessed a decline from the initial day to the fourteenth day.https://ojs.unud.ac.id/index.php/mtk/article/view/112737 |
| spellingShingle | MADE NONIK PRAMESTI KARANA I WAYAN SUMARJAYA KARTIKA SARI A PERAMALAN VOLATILITAS RETURN NILAI TUKAR RUPIAH TERHADAP US DOLLAR MENGGUNAKAN METODE EGARCH, TGARCH, DAN APARCH E-Jurnal Matematika |
| title | A PERAMALAN VOLATILITAS RETURN NILAI TUKAR RUPIAH TERHADAP US DOLLAR MENGGUNAKAN METODE EGARCH, TGARCH, DAN APARCH |
| title_full | A PERAMALAN VOLATILITAS RETURN NILAI TUKAR RUPIAH TERHADAP US DOLLAR MENGGUNAKAN METODE EGARCH, TGARCH, DAN APARCH |
| title_fullStr | A PERAMALAN VOLATILITAS RETURN NILAI TUKAR RUPIAH TERHADAP US DOLLAR MENGGUNAKAN METODE EGARCH, TGARCH, DAN APARCH |
| title_full_unstemmed | A PERAMALAN VOLATILITAS RETURN NILAI TUKAR RUPIAH TERHADAP US DOLLAR MENGGUNAKAN METODE EGARCH, TGARCH, DAN APARCH |
| title_short | A PERAMALAN VOLATILITAS RETURN NILAI TUKAR RUPIAH TERHADAP US DOLLAR MENGGUNAKAN METODE EGARCH, TGARCH, DAN APARCH |
| title_sort | peramalan volatilitas return nilai tukar rupiah terhadap us dollar menggunakan metode egarch tgarch dan aparch |
| url | https://ojs.unud.ac.id/index.php/mtk/article/view/112737 |
| work_keys_str_mv | AT madenonikpramestikarana aperamalanvolatilitasreturnnilaitukarrupiahterhadapusdollarmenggunakanmetodeegarchtgarchdanaparch AT iwayansumarjaya aperamalanvolatilitasreturnnilaitukarrupiahterhadapusdollarmenggunakanmetodeegarchtgarchdanaparch AT kartikasari aperamalanvolatilitasreturnnilaitukarrupiahterhadapusdollarmenggunakanmetodeegarchtgarchdanaparch AT madenonikpramestikarana peramalanvolatilitasreturnnilaitukarrupiahterhadapusdollarmenggunakanmetodeegarchtgarchdanaparch AT iwayansumarjaya peramalanvolatilitasreturnnilaitukarrupiahterhadapusdollarmenggunakanmetodeegarchtgarchdanaparch AT kartikasari peramalanvolatilitasreturnnilaitukarrupiahterhadapusdollarmenggunakanmetodeegarchtgarchdanaparch |