Syafri Syafri
Fakultas Ekonomi dan Bisnis Universitas Trisakti

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PENGARUH VOLATILITAS NILAI TUKAR RUPIAH TERHADAP NILAI TUKAR RUPIAH : APLIKASI MODEL ARCH/GARCH Theressia Mellyastannia; Syafri Syafri
Jurnal Ekonomi Trisakti Vol. 1 No. 1 (2014)
Publisher : Lembaga Penerbit Fakultas EKonomi dan BisnisĀ 

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (9467.716 KB) | DOI: 10.25105/jet.v1i1.13482

Abstract

The purpose of this study was to determine the effect of volatility in the rupiah /U.S. $ against the rupiah / U.S. $. Analysis model used in this study is a model of ARCH /GARCH. Control variables are included in the data processing is a variable rate 12-month deposit rate and the current account. The period of data used are monthly data from years 2001 to 2012. From the results of the model estimates the chosen ARCH 2 as the best model to estimate the volatility of the exchange rate. The estimation results indicate that exchange rate volatility and a significant positive effect on the exchange rate. Meanwhile, the interest rate on 12-month deposits and current account negatively affect the exchange rate significantly.