BibTex Citation Data :
@article{J.Gauss14717, author = {Anggita Savitri and Budi Warsito and Rita Rahmawati}, title = {PEMODELAN MARKOV SWITCHING DENGAN TIME-VARYING TRANSITION PROBABILITY}, journal = {Jurnal Gaussian}, volume = {5}, number = {4}, year = {2016}, keywords = {egime switching, Markov switching, time-varying, transition probability, expected duration}, abstract = { Exchange rate or currency is an economic variable which reflects country’s state of economy. It fluctuates over time because of its ability to switch the condition or regime caused by economic and political factors. The changes in the exchange rate are depreciation and appreciation. Therefore, it could be modeled using Markov Switching with Time-Varying Transition Probability which observe the conditional changes and use information variable. From this model, time-varying transition probability and expected durations are obtained; both are very useful to explain economic growth better and more detailed. This research modeled ln return value of Indonesian Rupiah to U.S Dollars and using ln return value of Indonesian Rupiah to Euro as information variable. The best model is MS(2) – AR(1). Overall, the mean of transition probability from appreciation to depreciation is 0,025242 and the transition probability from depreciation to appreciation is 0,666369. Expected duration of appreciation is 39,61623 days meanwhile the expected duration of depreciation is 39,18689 days. Keywords : regime switching, Markov switching, time-varying, transition probability, expected duration }, issn = {2339-2541}, pages = {603--610} doi = {10.14710/j.gauss.5.4.603-610}, url = {https://ejournal3.undip.ac.id/index.php/gaussian/article/view/14717} }
Refworks Citation Data :
Exchange rate or currency is an economic variable which reflects country’s state of economy. It fluctuates over time because of its ability to switch the condition or regime caused by economic and political factors. The changes in the exchange rate are depreciation and appreciation. Therefore, it could be modeled using Markov Switching with Time-Varying Transition Probability which observe the conditional changes and use information variable. From this model, time-varying transition probability and expected durations are obtained; both are very useful to explain economic growth better and more detailed. This research modeled ln return value of Indonesian Rupiah to U.S Dollars and using ln return value of Indonesian Rupiah to Euro as information variable. The best model is MS(2) – AR(1). Overall, the mean of transition probability from appreciation to depreciation is 0,025242 and the transition probability from depreciation to appreciation is 0,666369. Expected duration of appreciation is 39,61623 days meanwhile the expected duration of depreciation is 39,18689 days.
Keywords : regime switching, Markov switching, time-varying, transition probability, expected duration
Article Metrics:
Last update:
The Authors submitting a manuscript do so on the understanding that if accepted for publication, copyright of the article shall be assigned to Media Statistika journal and Department of Statistics, Universitas Diponegoro as the publisher of the journal. Copyright encompasses the rights to reproduce and deliver the article in all form and media, including reprints, photographs, microfilms, and any other similar reproductions, as well as translations.
Jurnal Gaussian and Department of Statistics, Universitas Diponegoro and the Editors make every effort to ensure that no wrong or misleading data, opinions or statements be published in the journal. In any way, the contents of the articles and advertisements published in Jurnal Gaussian journal are the sole and exclusive responsibility of their respective authors and advertisers.
The Copyright Transfer Form can be downloaded here: [Copyright Transfer Form Jurnal Gaussian]. The copyright form should be signed originally and send to the Editorial Office in the form of original mail, scanned document or fax :
Dr. Rukun Santoso (Editor-in-Chief) Editorial Office of Jurnal GaussianDepartment of Statistics, Universitas DiponegoroJl. Prof. Soedarto, Kampus Undip Tembalang, Semarang, Central Java, Indonesia 50275Telp./Fax: +62-24-7474754Email: jurnalgaussian@gmail.com
Jurnal Gaussian by Departemen Statistika Undip is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Visitor Number:
View statistics
