PEMODELAN MARKOV SWITCHING AUTOREGRESSIVE (MSAR) PADA INFLASI DKI JAKARTA

Authors

  • Farhah Anggana Andalas University
  • Dodi Devianto
  • Ferra Yanuar

DOI:

https://doi.org/10.25077/jmua.12.1.35-45.2023

Keywords:

Inflasi, State, Markov Switching Autoregressive (MSAR), Perubahan Struktur, Peluang Transisi

Abstract

Inflasi merupakan salah satu indikator penting dalam menganalisis
perekonomian sebuah negara. Tingkat inflasi dapat dikendalikan dengan menetapkan target inflasi, namun pada kenyataannya volatilitas di dalam sektor finansial sangat sensitif terhadap perubahan-perubahan, sehingga diperlukan metode yang sesuai dalam menganalisisnya. Pemodelan yang dapat menjelaskan perubahan-perubahan tersebut salah satunya yaitu Model Markov Switching Autoregressive (MSAR). Oleh karena itu, pada penelitian ini dalam menentukan model terbaik untuk data inflasi DKI Jakarta, menentukan besar peluang perpindahan dan bertahannya suatu state, serta besarnya dugaan durasi masing-masing state menggunakan metode MSAR. Pada inflasi DKI Jakarta dimisalkan terjadi 2 state (peningkatan dan penurunan) dan 3 state (peningkatan, stabil, dan penurunan). Diperoleh bahwa model terbaik yaitu MS(2)AR(1) dengan peluang bertahan pada state peningkatan adalah 0,729880, peluang transisi peningkatan ke penurunan adalah 0,270120, sedangkan peluang bertahan pada state penurunan adalah 0,732562, peluang transisi penurunan ke peningkatan adalah 0,267438. Dugaan durasi yang diperoleh pada peningkatan 3,702058 bulan dan durasi pada penurunan 3,200829 bulan.

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References

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Published

30-01-2023

How to Cite

Anggana, F., Devianto, D., & Yanuar, F. (2023). PEMODELAN MARKOV SWITCHING AUTOREGRESSIVE (MSAR) PADA INFLASI DKI JAKARTA. Jurnal Matematika UNAND, 12(1), 35–45. https://doi.org/10.25077/jmua.12.1.35-45.2023

Issue

Vol. 12 No. 1 (2023)

Section

Articles

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