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Budi Nurani Ruchjana
Departemen Matematika, Fakultas MIPA, Universitas Padjadjaran, Indonesia
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Volatility Spillover between the IDR-USD Exchange Rate and Sectoral Stock Indices using EGARCH Model Putri Zahra Helena; Dwi Susanti; Budi Nurani Ruchjana
International Journal of Quantitative Research and Modeling Vol. 6 No. 4 (2025): International Journal of Quantitative Research and Modeling (IJQRM)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v6i4.1132

Abstract

The exchange rate is an important indicator in an open economy such as Indonesia, where fluctuations in currency values, particularly the USD against the IDR, have a significant impact on the Indonesian financial market. Sectoral stock indices, as one of the components of the financial market, reflect the specific financial conditions of each sector in Indonesia. The USD, as the dominant global currency, influences various sectors, especially those related to foreign exchange transactions. The relationship between exchange rates and sectoral stock indices may indicate interdependence in volatility or the presence of volatility spillover effects. Therefore, this study aims to identify the presence of volatility spillover between the IDR-USD exchange rate and three sectoral stock indices in Indonesia, namely the financial sector (JKFINANCE), the energy sector (JKENERGY), and the infrastructure sector (JKINFRA). The Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model is used to capture asymmetric volatility. Based on the estimation results, the best-fitting EGARCH models are EGARCH(2,3) for the IDR-USD exchange rate, EGARCH(3,1) for the financial sector, EGARCH(2,4) for the energy sector, and EGARCH(2,5) for the infrastructure sector. The γ parameters from these models indicate that bad news increases volatility in the exchange rate, financial sector, and energy sector, while good news has a greater impact on volatility in the infrastructure sector. Furthermore, Granger Causality tests on the residuals of the EGARCH models reveal the existence of volatility spillovers between the IDR-USD exchange rate and the financial, energy, and infrastructure sector.
Co-Authors Ahdian, Muhammad Rhafi Ahmad Fawaid Ridwan Akmaliah, Syifani Al Fataa W Haq Al Madani, Aulia R. Al Madani, Aulia Rahman Alawiyah, Mutik Almeira Tsanawafa Anggraeni A Ani Pertiwi Annisa Alma Yunia Annisa Nur Falah, Annisa Nur Annisafiya, Nadira Arisya Maulina Bowo Asep Kurnia Permadi Asep Kurnia Permadi Asri Yuniar Asrirawan Atika Tresna Arianto Atje Setiawan Abdullah Auliyazhafira, Shabira A. Ayu Indriani Ayun Sri Rahmani Bambang Suhandi Bambang Suhandi Bowo, Arisya Maulina Chotimah, Husnul Dedi Rosadi Delvi Rutania Prama Desiyanti, Armalia Devi Munandar, Devi Devi Yanti, Devi Diah Chaerani Dian Islamiaty Puteri Dianne Amor Kusuma Dicky Muslim Dwi Susanti Dwipriyoko, Estiyan Eddy Hermawan Emah Suryamah Emah Suryamah, Emah Endang Rusyaman Endang Soeryana Hasbullah Fadhilah, Dila Nur Fajriatus Sholihah Falah, Annisa N. Gumgum Darmawan Gumgum Darmawan Hamim Tsalis Soblia Hardianto A Hendarmawan Hendarmawan Hendarmawan Hendarmawan, Hendarmawan Hera Khoirunnisa Husein Hernadi Bahti I Gede Nyoman Mindra I Gede Nyoman Mindra Jaya I Gede Nyoman Mindra Jaya Ibrahim, Riza Andrian Iin Irianingsih Kaerudin, Nandira Putri Kankan Parmikanti Kartika Sari Khafsah Joebaedi Khoirunnisa Rohadatul Aisy Muslihin Khoirunnisa Rohadatul Aisy Muslihin Kusuma, Dianne Amor Lucy Fitria Dewi Mahrudinda Mahrudinda Maryanto Rompon Mindra, I Gede Nyoman Monika, Putri Muhamad Sobari Muhammad Herlambang Prakasa Yudha Muthalib A nadhira, valda azka Najwa, Sandrina Nauli, Theresia S. Novi - Saputri Nur Hamid NUR HAMID Nurdeni, Nurdeni Nurul Gusriani, Nurul Permana, Pandu Permatasari, Noverlina Putri Pratiwi, Dhanti Aurilia Pratomo, Firdaus Ryan Puteri, Dian Islamiaty Putri Monika Putri Monika Putri Zahra Helena Putri, Fariza A. Putri, Salsabila Eka Resa Septiani Pontoh Rizka Pradita Prasetya Rizki Apriva Hidayana Salsabil, Tsuroyya Salsabila Salsabila Setialaksana, Wirawan - Shailla Rustiana Sobari, Muhamad Soetikno, Christophorus Sri Adi Widodo Sri Indra Maiyanti Suhandi, Bambang Sutawanir Darwis Tarigan, Wenny Srimeinda Tegar Bratasena WKM Tilas Notapiri Toni Toharudin Tsanawafa, Almeira Tsuroyya Salsabil Tubagus Robbi Megantara Viona Prisyella Balqis Vivian Wilhelmina Vivian Wilhelmina WKM, Tegar Bratasena Yunia, Annisa Alma Zahra, Nabila Zulfa Hidayah Satria Putri