International Journal of Advances in Applied Sciences
Vol 15, No 1: March 2026

Markov-switching and noise-to-signal ratio approach for early detection of currency crises

Sugiyanto, Sugiyanto (Unknown)
Nirwana, Muhammad Bayu (Unknown)
Slamet, Isnandar (Unknown)
Zukhronah, Etik (Unknown)
Parahita, Syifa’ Salsabila Gita (Unknown)

Article Info

Publish Date
01 Mar 2026

Abstract

Economic instability can easily lead to a currency crisis. Therefore, observing a number of crisis indicators is crucial for building an early warning system (EWS). However, selecting the indicators most responsive to the crisis is the best choice. For this purpose, the noise-to-signal ratio (NSR) method was used. Monthly data from 1990-1925 were used in the autoregressive moving average (ARMA), generalized autoregressive moving average with generalized autoregressive conditional heteroscedasticity (GARMACH), and Markov-switching (MS)-GARMACH hybrid models to explain the crisis. Model interpretation indicates that there will be no crisis from May 2025-April 2026.

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Journal Info
International Journal of Advances in Applied Sciences
Website

Abbrev

IJAAS

Publisher

Institute of Advanced Engineering and Science

Subject

Earth & Planetary Sciences Environmental Science Materials Science & Nanotechnology Mathematics Physics

Description

International Journal of Advances in Applied Sciences (IJAAS) is a peer-reviewed and open access journal dedicated to publish significant research findings in the field of applied and theoretical sciences. The journal is designed to serve researchers, developers, professionals, graduate students and ...