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Widyantara Arya Bagja Soenardi
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COMBINED VOLATILITY AND MARKOV SWITCHING MODELS FOR CURRENCY CRISIS DETECTION IN INDONESIA ON REAL DEPOSIT RATE INDICATORS Widyantara Arya Bagja Soenardi; Sugiyanto Sugiyanto; Winita Sulandari
International Conference on Economic Business and Social Science Vol. 1 No. 1 (2023): Proceeding International Conference on Economic Business and Social Science (IC
Publisher : Publikasi Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.59141/icebss.v1i1.6

Abstract

Indonesia experienced its worst currency crisis in the mid-1997 and the global currency crisis in 2008. The impact of these crises had a significant negative effect on the country's economy. Therefore, a system is needed to detect currency crises and prevent their recurrence. One indicator that can be used to detect currency crises is real interest rate savings. A combination of volatility models with Markov switching can be used to detect currency crises. The research results showed that the MS-ARCH(1) model can be used to detect crises in real interest rate savings indicators. Based on these results, it is predicted that the Indonesian economy will remain stable from mid-2022 to 2023
Co-Authors Sugiyanto Sugiyanto Winita Sulandari