MODEL MARKOV SWITCHING EGARCH PADA NILAI TUKAR EURO TERHADAP RUPIAH

MONALISA, NANDA PUTRI (2013) MODEL MARKOV SWITCHING EGARCH PADA NILAI TUKAR EURO TERHADAP RUPIAH. Other thesis, Universitas Sebelas Maret.

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    Abstract

    Rupiah exchange rate against the euro has three characteristics, namely heteroskedasticity, leverage effects and conditions contained structural changes. In this study, the model was developed with markov switching EGARCH (MS- EGARCH) for being able to capture the three characteristics of the rupiah exchange rate against the euro, namely heteroscedasticity in residuals, leverage effect conditions, and changes in the structure. This study aims to model and forecast the exchange rate of the euro against rupiah using the period covering January 28, 2002 until October 24, 2012. The results of this study demonstrate the model with a Markov switching model of ARMA (1,0) as the average model and the conditional model of EGARCH (1,1) as the conditional volatility models are the best models to forecast the rupiah exchange rate against the euro. Keywords : euro, hateroscedasticity, structural changes, MS-EGARCH. Nilai tukar euro terhadap rupiah memiliki tiga karakteristik, yaitu heteroskedastisitas, kondisi leverage effect dan terdapat perubahan struktur. Pada penelitian ini dikembangkan model bersama markov switching EGARCH (MS- EGARCH) karena dianggap mampu menangkap tiga karakteristik nilai tukar euro terhadap rupiah, yaitu heteroskedastisitas pada residu, kondisi leverage effect, dan perubahan struktur. Penelitian ini bertujuan untuk memodelkan dan meramalkan nilai tukar euro terhadap rupiah dengan menggunakan data periode 28 Januari 2002 sampai 24 Oktober 2012. Hasil dari penelitian ini menunjukkan model markov switching dengan model ARMA(1,0) sebagai model rata-rata bersyaratnya dan model EGARCH(1,1) sebagai model volatilitas bersyaratnya merupakan model terbaik untuk meramalkan nilai tukar euro terhadap rupiah. Kata Kunci : euro, heteroskedastisitas, perubahan struktur, MS-EGARCH.

    Item Type: Thesis (Other)
    Subjects: Q Science > Q Science (General)
    Divisions: Fakultas Matematika dan Ilmu Pengetahuan Alam
    Depositing User: Prima Adi Pradana
    Date Deposited: 26 Apr 2014 20:17
    Last Modified: 26 Apr 2014 20:17
    URI: https://eprints.uns.ac.id/id/eprint/13713

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