COMBINED VOLATILITY AND MARKOV SWITCHING MODELS FOR CURRENCY CRISIS DETECTION IN INDONESIA ON REAL DEPOSIT RATE INDICATORS

Widyantara Arya Bagja Soenardi (a:1:{s:5:"en_US"s:25:"Universitas sebelas maret"})
Sugiyanto Sugiyanto (universitas sebelas maret)
Winita Sulandari (universitas sebelas maret)

Proceedings International Conference on Economic Business and Social Science
Vol. 1 No. 1 (2023): Proceeding International Conference on Economic Business and Social Science (IC

Indonesia experienced its worst currency crisis in the mid-1997 and the global currency crisis in 2008. The impact of these crises had a significant negative effect on the country's economy. Therefore, a system is needed to detect currency crises and prevent their recurrence. One indicator that can be used to detect currency crises is real interest rate savings. A combination of volatility models with Markov switching can be used to detect currency crises. The research results showed that the MS-ARCH(1) model can be used to detect crises in real interest rate savings indicators. Based on these results, it is predicted that the Indonesian economy will remain stable from mid-2022 to 2023