ANALISIS VOLATILITAS NILAI TUKAR MATA UANG RUPIAH TERHADAP DOLAR
DOI:
https://doi.org/10.21776/ub.jiae.2011.005.02.3Abstract
This research aims to analyze the volatility of exchange rate (Rp/US$) on the Indone-sian economy. The Method of analyze uses Autoregressive Conditional Heteroscedasticiy(ARCH)/Generalized Autoregressive Conditional Heteroscedasticiy (GARCH) that wasdeveloped by Arize, (1995) and Zainal (2004). The result show that volatility ofexchange rate (Rp/US$) has extreme point at 1997/1998. At that time, economic crisiswas happen on the Indonesian economy, where the value of exchange rate volatilityRp/US$ have reached at point 0,250.
Keywords : volatility, exchange rate, ARCH,GARCH
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