Perbandingan Model Exponential GARCH dan Glosten Jaganathan Runkle GARCH dalam Meramalkan Nilai Tukar Rupiah terhadap Dolar Amerika Serikat

Khairunnisa Khairunnisa, Siti Sunendiari

Abstract


Abstract. Exchange rates are financial data that contain time series elements. The unstable condition of the rupiah exchange rate movement resulted in volatility. Volatility makes the residual value less constant, which means that the residual variance will always change every time. To solve this problem, the ARCH model can be used. However, because financial data has an asymmetric element where the volatility response to a shock will be different, it can be overcome with the Asymmetric GARCH method. The purpose of this thesis is to compare the Asymmetric GARCH model in predicting the rupiah exchange rate for 3 months on weekdays. The data used is secondary data obtained from the Bank Indonesia website in the form of data on the rupiah exchange rate against the US dollar. In this study, a comparison of models and forecasting accuracy to the best model between EGARCH and GJR GARCH was conducted. The selected model is GJR GARCH (2.1) with a forecast of the highest rupiah exchange rate against the US dollar of Rp14,434.48 and the lowest exchange rate of rupiah against the US dollar of Rp14,405.18.

Keywords: EGARCH, Exchange rates, Forecasting, GJR GARCH.

Abstrak. Nilai tukar merupakan data keuangan yang mengandung unsur deret waktu. Kondisi yang tidak stabil dari pergerakan nilai tukar rupiah mengakibatkan adanya volatilitas. Volatilitas membuat nilai residual semakin tidak konstan yang berarti varians residual akan selalu berubah setiap waku, untuk mengatasi masalah tersebut maka dapat menggunakan model ARCH. Namun karena data keuangan memiliki unsur keasimetrikan dimana respon volatilitas terhadap suatu guncangan akan berbeda, maka dapat diatasi dengan metode GARCH Asimetris. Tujuan dari skripsi ini adalah untuk membandingkan model GARCH Asimetris dalam meramalkan nilai tukar rupiah selama 3 bulan pada hari kerja. Data yang digunakan adalah data sekunder yang didapatkan dari website Bank Indonesia yaitu berupa data nilai tukar rupiah terhadap Dolar AS. Dalam penelitian ini dilakukan perbandingan model dan akurasi peramalan terhadap model terbaik antara EGARCH dan GJR GARCH. Model terpilih yaitu GJR GARCH(2,1) dengan peramalan nilai tukar rupiah terhadap Dolar AS tertinggi sebesar Rp14.434,48 dan harga nilai tukar rupiah terhadap Dolar AS terendah sebesar Rp14.405,18.

Kata Kunci: EGARCH, GJR GARCH, Nilai tukar, Peramalan.


Keywords


EGARCH, GJR GARCH, Nilai tukar, Peramalan

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DOI: http://dx.doi.org/10.29313/.v6i2.22984

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