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Cindy Wahyu Elvitra
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METODE PERAMALAN DENGAN MENGGUNAKAN MODEL VOLATILITAS ASYMMETRIC POWER ARCH (APARCH) Cindy Wahyu Elvitra; Budi Warsito; Abdul Hoyyi
Jurnal Gaussian Vol 2, No 4 (2013): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (583.385 KB) | DOI: 10.14710/j.gauss.v2i4.3786

Abstract

Exchange rate can be defined as a ratio the value of currency. The exchange rate shows a currency price, if it exchanged with another currency. Exchange rates of a currency fluctuate all the time. Rise and fall exchange rates of a currency in the money market shows the magnitude of volatility occurred in a country currency to other's. To estimate the volatility behavior of the data gave rise to volatility clustering or heteroscedasticity problems, can’t be modeled using ARMA model and asymmetric effects that can‘t be modeled by ARCH or GARCH, can be modeled by Asymmetric Power ARCH (APARCH). In determining the estimated parameter values of APARCH model, used the maximum likelihood method, followed by using the iteration method is Berndt, Hall, Hall and Hausman (BHHH). The APARCH model used to the data return of exchange rate against dollar is APARCH(2,1) or in the form as follows :  = 0,00000268 + 0,830902 + 0,130516  + 0,074784  + 0,151157
Co-Authors Abdul Hoyyi Budi Warsito