PENDUGAAN VOLATILITAS NILAI TUKAR RUPIAH MENGGUNAKAN MODEL GARCH

Dita Angelina, . (2025) PENDUGAAN VOLATILITAS NILAI TUKAR RUPIAH MENGGUNAKAN MODEL GARCH. Skripsi thesis, Universitas Pembangunan Nasional Veteran Jakarta.

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Abstract

Within the ASEAN region, the historical movement of the Indonesian Rupiah (IDR) against the US Dollar (USD) exhibits a wider fluctuation range compared to neighboring currencies. This indicates significant economic stability challenges stemming from persistent financial market uncertainty risks. This study aims to estimate exchange rate volatility patterns, determine the best-fitting estimation model, and interpret volatility dynamics within the context of monetary and fiscal policy responses across various periods of economic turmoil. The research employs time series analysis techniques utilizing a symmetric Generalized Autoregressive Conditional Heteroscedasticity (GARCH) modeling approach. The object of study comprises daily USD/IDR exchange rate data spanning from January 2, 1997, to December 31, 2024. The results confirm the presence of volatility clustering, with ARIMA(1,1,3)-ARCH(1) identified as the best-fitting model due to the absence of asymmetric effects in the data. Furthermore, the findings demonstrate that anticipatory policy responses correlate with increasingly controlled volatility dynamics, evidenced by a drastic decline in peak volatility from extreme levels during the 1998 Crisis and the 2020 Pandemic to a highly stable state in early 2025. Additionally, the model proves reliable as a risk mitigation instrument, demonstrating short-term forecasting accuracy with an error rate below 1%.

Item Type:	Thesis (Skripsi)
Additional Information:	[No. Panggil: 2210115031] [Pembimbing: Aswin Rivai] [Penguji 1: Viyolanda Azrimultiya] [Ketua Penguji: Indri Arrafi Juliannisa]
Uncontrolled Keywords:	Rupiah Exchange Rate, Volatility, GARCH Model, Monetary Policy, Exchange Rate Forecasting
Subjects:	H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory H Social Sciences > HG Finance
Divisions:	Fakultas Ekonomi dan Bisnis > Program Studi Ekonomi Pembangunan (S1)
Depositing User:	DITA ANGELINA
Date Deposited:	10 Apr 2026 04:29
Last Modified:	10 Apr 2026 04:29
URI:	http://repository.upnvj.ac.id/id/eprint/41385

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