ESTIMASI VARIANSI RETURN DI PASAR VALUTA ASING INDONESIA MENGGUNAKAN MODEL AR(1)-ARCH(1)

Didit B. Nugroho, Alvian M. Sroyer

Abstract


Studi ini membahas suatu klas dari model autoregressive (AR) dengan error mengikuti proses autoregressiveconditional heteroscedastic (ARCH). Model diestimasi menggunakan metode adaptive random walk Metropolis (ARWM) yang dikerjakan dalam algoritma Markov Chain Monte Carlo (MCMC) dan diaplikasikan pada delapan data kurs jual harian nilai mata uang asing terhadap rupiah dari tahun 2010 sampai tahun 2015.

Kata kunci: model AR-ARCH, metode ARWM, return kurs jual.


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References


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