MODEL LAJU PERUBAHAN NILAI TUKAR RUPIAH (IDR) TERHADAP POUNDSTERLING (GBP) DENGAN METODE MARKOV SWITCHING AUTOREGRESSIVE (MSAR)

Authors

  • Uqwatul Alma Wisza
  • Dodi Devianto
  • Maiyastri .

DOI:

https://doi.org/10.25077/jmu.5.3.56-64.2016

Abstract

Abstrak. Perubahan struktur yang sering terjadi pada data deret waktu diduga dipen-
garuhi oleh suatu variabel acak tak teramati atau disebut dengan state. Perubahan
struktur diidentikasi dengan melihat pola nonlinier pada data yang biasanya berupa
pelonjakan nilai yang sangat mencolok dan signikan. Model Markov Switching Autore-
gressive (MSAR) oleh Hamilton merupakan suatu model yang dihasilkan dari peng-
gabungan rantai Markov dan model klasik Autoregressive yang mampu menjelaskan
perubahan struktur pada data deret waktu. Salah satu data yang sering mengalami
perubahan struktur adalah data nilai tukar. Oleh karena itu, penelitian ini akan menen-
tukan model terbaik bagi laju perubahan nilai tukar rupiah (IDR) terhadap poundster-
ling (GBP), menentukan besar peluang perpindahan dan bertahannya suatu state, serta
besarnya dugaan durasi masing-masing state menggunakan metode Markov Switching
Autoregressive (MSAR). Pada nilai tukar dimisalkan terdapat dua state apresiasi dan
depresiasi. Diperoleh bahwa model terbaik yaitu MS(2)AR(1) dengan peluang transisi
apresiasi ke apresiasi 0; 979882, apresiasi ke depresiasi 0; 020118, depresiasi ke depresiasi
0; 451971, dan depresiasi ke apresiasi 0; 548029. Sedangkan dugaan durasi pada apresiasi
49; 7067 bulan dan durasi pada depresiasi 1; 82462 bulan.

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Published

30-08-2016

Issue

Vol. 5 No. 3 (2016)

Section

Articles

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