PERBANDINGAN INVESTASI PADA MATA UANG DOLAR AMERIKA (USD) DAN YEN JEPANG (JPY) DENGAN MODEL ARIMA DAN GARCH

Authors

  • Degika Widya Tama
  • Maiyastri .
  • Yudiantri Asdi

DOI:

https://doi.org/10.25077/jmu.6.1.1-8.2017

Abstract

Abstrak. Nilai tukar mata uang merupakan hal penting yang harus diperhatikan seseorang
apabila akan melakukan investasi. Namun pada kenyataannya nilai tukar mata
uang cenderung berubah-ubah dari waktu ke waktu. Naik turunnya nilai tukar mata
uang menunjukkan besarnya volatilitas. Data nilai tukar mata uang dapat dimodelkan
dengan pemodelan deret waktu. Salah satu model yang sering digunakan yaitu model
ARIMA. Untuk memodelkan tingkat volatilitas digunakan model GARCH, kemudian
dilakukan perhitungan untuk menentukan resiko kerugian maksimum dengan metode
Value at Risk. Pada penelitian ini data nilai tukar/kurs yang digunakan adalah kurs
Dolar Amerika (USD) dan Yen Jepang (JPY) terhadap Rupiah. Dari hasil penelitian
diperoleh bahwa model ARIMA terbaik untuk kurs USD yaitu ARIMA (0,1,1) dan
ARIMA terbaik untuk kurs JPY adalah ARIMA (2,1,2). Dengan model ARIMA terbaik
diperoleh nilai peramalan untuk masing-masing kurs, dimana peramalan yang terbesar
untuk data sebenarnya adalah kurs USD. Untuk pemodelan volatilitas dengan model
GARCH dengan menggunakan data return diperoleh model terbaik untuk kurs USD
yaitu GARCH (2,1) dan GARCH (1,1) untuk kurs JPY. Dari model GARCH terbaik
diperoleh ramalan return dan volatilitas yang akan digunakan dalam perhitungan Value
at Risk. Dari pehitungan Value at Risk diperoleh resiko terkecil adalah mata uang USD.
Sehingga investasi terbaik dilakukan pada mata uang Dolar Amerika (USD).
Kata Kunci: Nilai tukar, ARIMA, return, GARCH, volatilitas, Value at Risk

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Published

01-02-2017

Issue

Vol. 6 No. 1 (2017)

Section

Articles

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