Jurnal Ekonomi Trisakti
Vol. 1 No. 1 (2014)

PENGARUH VOLATILITAS NILAI TUKAR RUPIAH TERHADAP NILAI TUKAR RUPIAH : APLIKASI MODEL ARCH/GARCH

Theressia Mellyastannia (Fakultas Ekonomi dan Bisnis Universitas Trisakti)
Syafri Syafri (Fakultas Ekonomi dan Bisnis Universitas Trisakti)

Article Info

Publish Date
28 Mar 2022

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.

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Journal Info
Jurnal Ekonomi Trisakti
Website

Abbrev

jet

Publisher

Universitas Trisakti

Subject

Economics, Econometrics & Finance

Description

Jurnal Ekonomi Trisakti (JET) has been published by Lembaga Penerbit Fakultas EKonomi dan Bisnis (LPFEB). JET is a journal for publication of undergraduate (S1) and Applied (D4) students, students of the Faculty of Economics and Business (FEB) as well as students outside of FEB and General Affairs. ...