MODEL ARCH-GARCH DAN APLIKASINYA DALAM PEMODELAN VOLATILITAS KURS RUPIAH TERHADAP EURO

Abstract

Time series of financial data are usually not free from the anomaly of autocorrelation, and consequently subject to heterocedasticity which is contrary to homocedasticity assumption underlying basic regression model. This paper is an attempt to show the use of GARCH (Generalized Autoregressive Conditional Heterocedasticity) model provide a reasonably good estimation for future exchange rate of IDR (Indonesia Rupiah) against Euro