METODE PERAMALAN DENGAN MENGGUNAKAN MODEL VOLATILITAS ASYMMETRIC POWER ARCH (APARCH)

Cindy Wahyu Elvitra, Budi Warsito, Abdul Hoyyi

Abstract


Exchange rate can be defined as a ratio the value of currency. The exchange rate shows a currency price, if it exchanged with another currency. Exchange rates of a currency fluctuate all the time. Rise and fall exchange rates of a currency in the money market shows the magnitude of volatility occurred in a country currency to other's. To estimate the volatility behavior of the data gave rise to volatility clustering or heteroscedasticity problems, can’t be modeled using ARMA model and asymmetric effects that can‘t be modeled by ARCH or GARCH, can be modeled by Asymmetric Power ARCH (APARCH). In determining the estimated parameter values of APARCH model, used the maximum likelihood method, followed by using the iteration method is Berndt, Hall, Hall and Hausman (BHHH). The APARCH model used to the data return of exchange rate against dollar is APARCH(2,1) or in the form as follows :  = 0,00000268 + 0,830902 + 0,130516  + 0,074784  + 0,151157


Keywords


Exchange Rate; Volatility Clustering; ARCH; Return; APARCH

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Jurnal Gaussian by Departemen Statistika Undip is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.

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