PERAMALAN NILAI TUKAR DOLAR SINGAPURA (SGD) TERHADAP DOLAR AMERIKA (USD) DENGAN MODEL ARIMA DAN GARCH

Authors

  • Fatihatur Ramadhani
  • Maiyastri .
  • Yudiantri Asdi

DOI:

https://doi.org/10.25077/jmu.6.1.110-117.2017

Abstract

Abstrak. Uang memegang peranan penting dalam perekonomian setiap negara. Namun
nilai tukar mata uang dapat berubah-ubah dari waktu ke waktu. Naik turunnya nilai
tukar uang di pasar uang dapat mempengaruhi tingkat kestabilan ekonomi suatu negara.
Salah satu cara untuk melihat keadaan ekonomi suatu negara dapat dilakukan dengan
memodelkan nilai tukar mata uang negara tersebut. Salah satu model untuk memodelkan
rataan adalah model ARIMA. Sedangkan untuk memodelkan besarnya volatilitas menggunakan
model GARCH. Setelah itu ditentukan nilai resiko kerugian maksimum dengan
menggunakan Value at Risk. Pada penelitian ini dianalisis model ARIMA dan GARCH
pada data nilai tukar mata uang Dolar Singapura (SGD) terhadap Dolar Amerika (USD).
Diperoleh model terbaik adalah ARIMA(0,1,1) dan GARCH(1,1). Berdasarkan estimasi
VaR diperoleh bahwa dengan taraf kepercayaan 90% kerugian maksimum yang mungkin
akan dialami dengan menginvestasikan uang sebesar US $300.000 adalah sebesar US
$2881.977.

Kata Kunci: Model ARIMA, Model GARCH, Value at Risk

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Published

01-02-2017

Issue

Vol. 6 No. 1 (2017)

Section

Articles

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