METODE PERAMALAN MENGGUNAKAN MODEL VOLATILITAS ASYMMETRIC POWER AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY PADA RETURN NILAI TUKAR RUPIAH TERHADAP DOLLAR
| Format: | Article PeerReviewed application/pdf |
|---|---|
| Terbitan: |
Jurusan Statistika Undip
, 2013
|
| Subjects: | |
| Online Access: |
http://eprints.undip.ac.id/40347/1/C07_Cindy_Wahyu_E.pdf http://eprints.undip.ac.id/40347/ |
Daftar Isi:
- 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). Keywords : Exchange rate, ARCH, APARCH