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Analisis Volatilitas Nilai Tukar Mata Uang Rupiah terhadap Dolar

Abstract

This research aims to analyze the volatility of exchange rate (Rp/US)ontheIndoneβˆ’sianeconomy.TheMethodofanalyzeusesAutoregressiveConditionalHeteroscedasticiy(ARCH)/GeneralizedAutoregressiveConditionalHeteroscedasticiy(GARCH)thatwasdevelopedbyArize,(1995)andZainal(2004).Theresultshowthatvolatilityofexchangerate(Rp/US) on the Indone-sian economy. The Method of analyze uses Autoregressive Conditional Heteroscedasticiy(ARCH)/Generalized Autoregressive Conditional Heteroscedasticiy (GARCH) that wasdeveloped by Arize, (1995) and Zainal (2004). The result show that volatility ofexchange rate (Rp/US) has extreme point at 1997/1998. At that time, economic crisiswas happen on the Indonesian economy, where the value of exchange rate volatilityRp/US$ have reached at point 0,250

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    Last time updated on 30/01/2017