Beni, Darmawan and Nusyirwan, Nusyirwan and Suharsono, Suharsono and Rudi, Ruswandi (2019) PERAMALAN VOLATILITAS DATA RETURN KURS RUPIAH TERHADAP DOLLAR DENGAN METODE INTEGRATED GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (IGARCH. In: SN_SMIAP V Tahun 2019 FMIPA, FMIPA UNILA. (Submitted)

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Abstract

The purpose of this study is to apply one of the ARCH / GARCH models, namely Integrated Generalized Autoregressive Conditional Heteroscedasticity (IGARCH) in predicting volatility in returning data on the Rupiah Rate against the US Dollar for the next five periods. In time series data, sometimes the behaviour of variance of the time series data are not constant or heteroschedasticity. One of the models to deal with this tipe of problem, we can use IGARCH model. IGARCH model can be used to forecast volatility. Based on the results of the analysis obtained the best model is MA ([24]) IGARCH (3.2) and with the results of the variance forecast obtained volatility for the next five periods which indicates that high volatility cannot be used. However, the estimated level of use of the IGARCH(3,2) model is relatively low.

Item Type:	Conference or Workshop Item (Paper)
Subjects:	Q Science > QA Mathematics
Divisions:	Fakultas Matematika dan Ilmu Pengetahuan Alam (FMIPA) > Prodi Matematika
Depositing User:	NUSYIRWAN
Date Deposited:	04 Nov 2019 08:16
Last Modified:	04 Nov 2019 08:16
URI:	http://repository.lppm.unila.ac.id/id/eprint/15302

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