Peramalan Volatilitas Rupiah Sebagai Upaya Optimalisasi Portofolio Valas

Abstract

The modeling and forecasting of exchange rates and their volatility has important implication for many issues in econoinics and finance. Volatility is one of key input on portfolio selection that should be predicted especially cix risk exposure approach and in the light of this information could improve portfolio (/Ucility to support on decision making On the other hand, any inaccurate Jbrecasting could have catastrophic effect on quality and performance. This empirical study analyses the ability of eqitally weighted i;iodel(EWM and exponentially weighted inodel(EWMA,.)to forecast the magnitude of change in 11 Indonesian bilateral exchange rate series. This study also present the working of markowitz model to evaluate efficient portfolio on foreign exchange markets in Indonesia. These niarkets represent the most important mai-ket risk sources for investment banking.Afier the markets are analyzed, a proposed methodology for deterinination of a market risk sensitivity estimate is presented, taking special considerations as to the spec j/ic problems applying these methodologies for the case 1998-1999 period.Secondaiy data is collected from historical data on weekly Key Currencies Dow Jones from January 1998 to December ]999,then the procedure is followed by purposive sampling methodology. Perancangan model dan peramalan mata uang serta volatilitasnya mempunyai implikasi penting dalam berbagai isu di bidang ekonoini dan keuangan.Volatilitas valas adalab salah satu input yang digunakan dalam menyeleksi portofolio yang nilainya hams diramalkan terutama sebagai proxy terhadap eksposure resiko sehingga dengan kualitas model peramalan yang baik akan menunjang pengambilan keputusan investasi dan kualitas portofollo. Kesalahan dalam memprediksi volatilitas dan ruengantisipasi fenomena keuangan global akan berimplikasi terhadap kuaLitas dan kinerja manajemen portofolio internasional. Penelitian empiris ini menganalisis kekuatan modeLmodel peramalan volatilitas valas balk dengan equally weighted model (EWM) maupun exponentially weighted model (EWMA) pada 11 data historis iningguan mata uang internasional periode 1998-1999. Model Markowitz selanjutnya dipakai untuk mengoptimalkan portofolio valas tersebut dalam konteks pasar keuangan di Indonesia. Jenis data kurs valas yang dipakai berupa data sekunder berupa deret berkala yang diperoleh dan hash pengamatan kurs mata uang dunia yang masuk dalam key currencies Dow Jones periode iningguan sejak Januari 1998 sampai dengan bulan Desember 1999 sedangkan pengambilan sampel dilakukan secara purposive sampling.