METODE PERAMALAN MENGGUNAKAN MODEL VOLATILITAS ASYMMETRIC POWER AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY PADA RETURN NILAI TUKAR RUPIAH TERHADAP DOLLAR

UNSPECIFIED (2013) METODE PERAMALAN MENGGUNAKAN MODEL VOLATILITAS ASYMMETRIC POWER AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY PADA RETURN NILAI TUKAR RUPIAH TERHADAP DOLLAR. PROSIDING SEMINAR NASIONAL STATISTIKA UNIVERSITAS DIPONEGORO 2013 . pp. 479-490. ISSN ISBN: 978-602-14387-0-1

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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). Keywords : Exchange rate, ARCH, APARCH

Item Type:Article
Subjects:Q Science > Q Science (General)
Divisions:Faculty of Science and Mathematics > Department of Statistics
ID Code:40347
Deposited By:Mr Hasbi Yasin
Deposited On:21 Oct 2013 15:54
Last Modified:21 Oct 2013 15:54

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