ANALISIS MODEL VOLATILITAS INDEKS DAN NILAI MATA UANG DI ASIA TENGGARA
Abstract
This study uses 6 countries in Southeast Asia namely Indonesia, Malaysia, Singapore, Vietnam, Thailand and the Philippines. The problem to be tested is to analyze the volatility models of indexes and currency values caused by the movement of these two variables which have high volatility so that heteroscedasticity is present in the linear model. The methods used are ARCH, GARCH, TARCH, EGARCH, PARCH, and COMPONENT ARCH. Evaluation of in-sample models using AIC, SC, and HQC and out-sample models using MAPE, MAE, and RMSE. Range data is daily data from 2006 to 2018. In-sample data from 2006 to 2017 while out-sample data from 2017 to 2018. The results of the study are the USD / VND exchange rate has the smallest risk compared to the USD exchange rate against the value of currencies in Southeast Asia and The JKSE index in Indonesia has the smallest risk compared to other Southeast Asian countries.
Abstrak
Penelitian ini menggunakan 6 negara di Asia Tenggara yaitu Indonesia, Malaysia, Singapura, Vietnam, Thailand, dan Filipina. Masalah yang akan diuji adalah menganalisis model volatilitas indeks dan nilai mata uang yang disebabkan pergerakan kedua variabel tersebut memiliki volatilitas yang tinggi sehingga heteroskedastisitas hadir dalam model linier. Metode yang digunakan adalah ARCH, GARCH, TARCH, EGARCH, PARCH, dan COMPONENT ARCH. Evaluasi model in-sample menggunakan AIC, SC, dan HQC dan model out-sampel menggunakan MAPE, MAE, dan RMSE. Range data adalah data harian dari tahun 2006 sampai 2018. Data in-sample dari 2006 ke 2017 sedangkan data out-sample dari 2017 ke 2018. Hasil penelitiannya adalah Kurs USD/VND memiliki resiko terkecil dibandingkan kurs USD terhadap nilai mata uang di Asia Tenggara dan Indeks JKSE di Indonesia memiliki risiko terkecil dibandingkan negara Asia Tenggara lainnya.
Kata Kunci : GARCH, TARCH, EGARCH, PARCH dan COMPONENT ARCH
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