FORECASTING THE EXCHANGE RATE OF U.S. DOLLAR AGAINST THE RUPIAH USING MODEL THRESHOLD AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (TARCH)

Ihsan, Hisyam and Aswi, Aswi and Ihram, Ihram (2015) FORECASTING THE EXCHANGE RATE OF U.S. DOLLAR AGAINST THE RUPIAH USING MODEL THRESHOLD AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (TARCH). In: ICSMTR 2015.

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Abstract

The exchange rate of U.S. dollar against the rupiah is a row of a random variable observations that can be expressed as the time series data. This is because such data is the set of ordered observations. The U.S. dollar exchange rate data used in this research is data for period 02 January 2013 to 28 may 2015. The data areheteroscedastic in nature. In addition, there is the condition of the leverage effect, namely the condition of good news and bad news are asymmetrical with respect to it volatility. Therefore, a suitable model used in this data is the model TARCH. The selection of the best model based on the least Akaike Info Criterion (AIC) and the Schwarz Criterion (SC). The best model obtained is TARCH (1,2) and as for forecasting for the next period is 13276,7.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: exchange rate, heteroscedasticity, asymetric, TARCH
Subjects: FMIPA > STATISTIKA - (S1)
FMIPA
KARYA ILMIAH DOSEN
Universitas Negeri Makassar > KARYA ILMIAH DOSEN
Divisions: KOLEKSI KARYA ILMIAH UPT PERPUSTAKAAN UNM MENURUT FAKULTAS > KARYA ILMIAH DOSEN
KARYA ILMIAH DOSEN
Depositing User: Dr. Aswi Aswi
Date Deposited: 05 Oct 2021 06:45
Last Modified: 05 Oct 2021 06:45
URI: http://eprints.unm.ac.id/id/eprint/21180

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