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All Journal EKONOMIS : Journal of Economics and Business JOURNAL OF APPLIED ACCOUNTING AND TAXATION Iqtishodiyah : Jurnal Ekonomi dan Bisnis Islam Management Studies and Entrepreneurship Journal (MSEJ) Madaniya Iqtishodiyah : Jurnal Ekonomi dan Bisnis Islam
Lia Amaliawiati
Universitas Widyatama
Religion Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Library & Information Science Social Sciences

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Journal : EKONOMIS : Journal of Economics and Business

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Volatility Composite Index and Exchange Rates in Indonesia: EGARCH/TARCH Model for VAR Estimation Lia Amaliawiati; Gusni Gusni; Eristy Minda Utami; Farida Nursjanti; Siti Komariah
Ekonomis: Journal of Economics and Business Vol 7, No 2 (2023): September
Publisher : Universitas Batanghari Jambi

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33087/ekonomis.v7i2.1348

Abstract

Composite index and exchange rate are important indicators that represent a country's economic performance, where there is a relationship between the two. In this study, the ideal model to capture the volatility of the composite index and exchange rate will be determined. to investigate the dynamic dependency relationship between the composite index and the exchange rate, first use a Vector Autoregressive (VAR) model. The best model in describing the volatility of the composite index is the EGARCH model while the exchange rate is using the TARCH model. According to research, there is an asymmetry relationship between the volatility of stock returns and the exchange rate, which means that the market will react to bad news more quickly than good news. According to the VAR model, the present volatility is influenced by the volatility of the prior period and there is a one-way causal relationship between the composite index and the exchange rate.
Co-Authors Annisa Arifianti Ramadhanti Devy Mawarnie Puspitasari Eristy Minda Utami Eristy Minda Utami Farida Nursjanti Gusni, Gusni Irma Nilasari Nugi Mohammad Nugraha Reva Yuliani Reva Yuliani Siti Komariah Wahyu Panji Nugrahani