Journal of Indonesian Applied Economics
Vol. 5 No. 2 (2011)

ANALISIS VOLATILITAS NILAI TUKAR MATA UANG RUPIAH TERHADAP DOLAR

Imam Mukhlis (Fakultas Ekonomi, Universitas Negeri Malang)

Article Info

Publish Date
16 May 2012

Abstract

This research aims to analyze the volatility of exchange rate (Rp/US$) on the Indone-sian economy. The Method of analyze uses Autoregressive Conditional Heteroscedasticiy(ARCH)/Generalized Autoregressive Conditional Heteroscedasticiy (GARCH) that wasdeveloped by Arize, (1995) and Zainal (2004). The result show that volatility ofexchange rate (Rp/US$) has extreme point at 1997/1998. At that time, economic crisiswas happen on the Indonesian economy, where the value of exchange rate volatilityRp/US$ have reached at point 0,250.Keywords : volatility, exchange rate, ARCH,GARCH

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Journal Info
Journal of Indonesian Applied Economics
Website

Abbrev

jiae

Publisher

Universitas Brawijaya

Subject

Economics, Econometrics & Finance

Description

Journal of Indonesian Applied Economics (JIAE) is an online journal sponsored by the Faculty of Economics and Bussiness, Universitas Brawijaya. The purpose of this journal is to enhance the study of economic issues on all aspects of applied economics and ...