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Kandora, Abbas Hasbalrasol Abas & Hamdi, Ahmed Mohammed Abdullah., 2016. Modelling and Forecasting Exchange-rate Volatility with ARCH-type models. IOSR Journal of Mathematics, 12 (2). 29-37.

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Article

ARCH Model in Analysis Patterns of Rupiah Exchange Rates against US Dollar

1Department of Industrial Engineering, Universitas Pasundan, Bandung, Indonesia


Journal of Finance and Economics. 2020, Vol. 8 No. 2, 61-68
DOI: 10.12691/jfe-8-2-3
Copyright © 2020 Science and Education Publishing

Cite this paper:
Iman Firmansyah, Edi Gunadi. ARCH Model in Analysis Patterns of Rupiah Exchange Rates against US Dollar. Journal of Finance and Economics. 2020; 8(2):61-68. doi: 10.12691/jfe-8-2-3.

Correspondence to: Iman  Firmansyah, Department of Industrial Engineering, Universitas Pasundan, Bandung, Indonesia. Email: firmansyah1958@yahoo.co.id

Abstract

The Indonesian government uses the exchange rate of US dollar (USD) as an indicator in the preparation of the Draft of State Revenue and Expenditure Budget (RAPBN). The reason is that the daily exchange rate of the US dollar is a time series data with significant autocorrelation. Although the variance is relatively small, it cannot be considered constant. So, that the functional relationship model of the variants needs to be examined in addition to the functional relationship model of the exchange value. The study of the functional relationship model of observational values and their variants can simultaneously be analyzed by ARCH model based on daily data between 1 July 2015 - 31 July 2019.

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