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All Journal Jurnal Keuangan dan Perbankan JEJAK Journal of Economics, Business, & Accountancy Ventura Jurnal Ekonomi & Studi Pembangunan International Journal of Islamic Economics and Finance (IJIEF) IJEBD (International Journal Of Entrepreneurship And Business Development) JURNAL AKUNTANSI, MANAJEMEN DAN EKONOMI Jurnal Bisnis dan Akuntansi Jurnal Muara Ilmu Ekonomi dan Bisnis International Journal of Economics, Business and Accounting Research (IJEBAR) ASIAN JOURNAL OF ISLAMIC MANAGEMENT (AJIM) MEDIA BISNIS International Journal of Community Service & Engagement International Journal of Data Science, Engineering, and Analytics (IJDASEA) Proceeding National Conference Business, Management, and Accounting (NCBMA) International Journal of Science and Environment Journal of Accounting Research, Organization and Economics (JAROE) Jurnal Abdimas Sosial, Ekonomi, dan Teknologi E-Amal: Jurnal Pengabdian Kepada Masyarakat
Regi Muzio Ponziani
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Agriculture, Biological Sciences & Forestry Humanities Biochemistry, Genetics & Molecular Biology Chemical Engineering, Chemistry & Bioengineering Chemistry Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Environmental Science Health Professions Law, Crime, Criminology & Criminal Justice Mathematics Physics Social Sciences Other

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Journal : Journal of Economics, Business,

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Foreign exchange volatility modeling of Southeast Asian major economies Ponziani, Regi Muzio
Journal of Economics, Business, and Accountancy Ventura Vol. 22 No. 2 (2019): August - November 2019
Publisher : Universitas Hayam Wuruk Perbanas

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14414/jebav.v22i2.1912

Abstract

This study investigates the exchange rate volatility model in Southeast Asian countries. The countries selected were Indonesia, Malaysia, Thailand, The Philippines, Vietnam, and Singapore. This study aims to model the volatility of the regional currency exchange rate against the international currency, i.e., the US Dollar. The period covered in this study extended from 1 January 2013 until 31 July 2019. These were the daily exchange rates of 7 currencies of Southeast Asian countries. The currency involved were Indonesian Rupiah (IDR), Malaysian Ringgit (MYR), Thai Baht (THB), The Philippine Peso (PHP), Vietnam Dong (VND), and Singaporean Dollar (SGD). All currencies were measured in the exchange rate against the US Dollar (USD). The result indicated that PARCH model is the best method to explain the movement of MYR, VND, and SGD. GARCH can model THB and PHP. Only IDR that has volatility explainable by TARCH.
Foreign exchange volatility modeling of Southeast Asian major economies Ponziani, Regi Muzio
Journal of Economics, Business, and Accountancy Ventura Vol. 22 No. 2 (2019): August - November 2019
Publisher : Universitas Hayam Wuruk Perbanas

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14414/jebav.v22i2.1912

Abstract

This study investigates the exchange rate volatility model in Southeast Asian countries. The countries selected were Indonesia, Malaysia, Thailand, The Philippines, Vietnam, and Singapore. This study aims to model the volatility of the regional currency exchange rate against the international currency, i.e., the US Dollar. The period covered in this study extended from 1 January 2013 until 31 July 2019. These were the daily exchange rates of 7 currencies of Southeast Asian countries. The currency involved were Indonesian Rupiah (IDR), Malaysian Ringgit (MYR), Thai Baht (THB), The Philippine Peso (PHP), Vietnam Dong (VND), and Singaporean Dollar (SGD). All currencies were measured in the exchange rate against the US Dollar (USD). The result indicated that PARCH model is the best method to explain the movement of MYR, VND, and SGD. GARCH can model THB and PHP. Only IDR that has volatility explainable by TARCH.
Co-Authors Ariesta Tika Kinanti Pangestu Putri Briliana, Vita Calvin DANIBRATA, AULIA Debora FEBRIANTI, MEIRISKA FIRNANTI, FRISKA Gulo, Yupiter GUNAWAN, HERY HARYANTI, DENNY SEPTA HIDAYAT, MUWAFICK Hilary Flora Agustina Tulli Lasar Ian Nurpatria Suryawan Ian Nurpatria Suryawan INDRIYANTI, IRMA SATYA Jonathan, Aries Julisar Kwikamto, Arya Lasar, Hilary Flora Agustina Tulli Lea, Valerie Amabel Marie, Andhalia Liza Nellyana Nisa, Shella Khoirun NJIT, TJHAI FUNG PRAJITNO, SUGIARTO PRASASTYO, KLEMENS WEDANAJI Prasetio, Arton Briyan Purbasari, Niken Putri, Ade Hanifa Rahayuningsih, Deasy Ariyanti RISMA AZIZAH Rudyanto, Astrid Setia Tjahyanti Soegijanto, Cleophila M. G. T. Soegijanto, Cleophila M.G.T Soegijanto, Cleophila M.G.T. SUMARTA, RIAN Sunny, Gloria Christina SUPARMUN, HARYO Surya, Monita Permata Syahrian, Syahrian Tatik Mariyanti, Tatik Theola, Veliana Tita Deitiana, Tita Wardy, Andes WIDAYATI, NURTI Yohanes Yulius Kurnia Susanto Yuwono, Arleen Herawaty Zubaidi, Umar Issa