REGRESI SPLINE SEBAGAI ALTERNATIF DALAM PEMODELAN KURS RUPIAH TERHADAP DOLAR AMERIKA SERIKAT

Sulton Syafii Katijaya, Suparti Suparti, Sudarno Sudarno

Abstract


Exchange rate is the ratio of value or price of the currency between two countries. Many factors are thought to affect change in the inflation rate, the activity balance of payments, interest rate differentials, the relative level of income, government control and expectations. Therefore the method that can be used to analyze the exchange rate is needed such as the classical time series analysis (parametric). However the fluctuated data rate doesn’t occupy the assumption of stationarity often. Another alternative for this study is the spline regression. Spline is a nonparametric regression that doesn’t hold any assumption of regression curves. Spline regression has high flexibility and ability to estimate the data behavior which is likely to be different at every point of the interval, with the help of knots. The best model depends on the determination of the optimal point knots, that is has a minimum value of Generalized Cross Validation (GCV). Using data daily exchange rate of the rupiah against the dollar in the period of January 2, 2012 until October 15, 2012, the best spline model in this study is when using 2 to 3 order of approaching knots point, those points are 9512, 9517 and 9522 with the GCV = 1036.38.

Keywords


Rate of Exchange, Time Series, Spline, Knots, Generalized Cross Validation

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