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SINTA 1
Modeling of Stochastic Volatility to Validate IDR Anchor Currency
Gadjah Mada International Journal of Business (GamaIJB)
ISSN 2338-7238, 1411-1128
Terbit 2018-08-30
Penerbit Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada
Bahasa eng
Abstrak
This study aims to assess the performance of stochastic volatility models for their estimation of foreign exchange rate returns' volatility using daily data from Bank Indonesia (BI). The model is then applied to validate the anchor currency of Indonesian rupiah (IDR). Two stylized facts are incorporated into the models: A correlation between the previous returns and their conditional variance, and return errors following four different error distributions namely Normal, Student-t, non-central Student-t, and generalized hyperbolic skew Student-t. The analysis is based on the application of daily returns data from nine foreign currency selling rates to IDR from 2010 to 2015, including the AUD, CHF, CNY, EUR, GBP, JPY, MYR, SGD, and USD. The main results are: (1) Mixed evidence of positive and negative relationships between the return and its variance were found, especially significant correlations being found for the IDR/AUD, IDR/CHF, IDR/JPY, IDR/SGD, and IDR/USD returns series; (2) the model with the generalized hyperbolic skew Student's t-distribution specification for the returns error provides the best performance; and (3) anchoring the IDR to established hard currencies is more appropriate than anchoring it to other currencies.
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Sumber metadata: OAI-PMH (metadata jurnal) https://journal.ugm.ac.id/gamaijb/oai, pertama di-harvest 28 Okt 2026, terakhir terlihat 8 Nov 2026.
Metadata asli (oai_dc)
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<dc:title xml:lang="en-US">Modeling of Stochastic Volatility to Validate IDR Anchor Currency</dc:title>
<dc:creator>Nugroho, Didit Budi</dc:creator>
<dc:creator>Mahatma, Tundjung</dc:creator>
<dc:creator>Pratomo, Yulius</dc:creator>
<dc:subject xml:lang="en-US">Management; Business</dc:subject>
<dc:subject xml:lang="en-US">asymmetric effect, Bayesian inference, currency exchange rates, generalized Student-t, stochastic volatility</dc:subject>
<dc:subject xml:lang="en-US">C32, G12, G13</dc:subject>
<dc:description xml:lang="en-US">This study aims to assess the performance of stochastic volatility models for their estimation of foreign exchange rate returns' volatility using daily data from Bank Indonesia (BI). The model is then applied to validate the anchor currency of Indonesian rupiah (IDR). Two stylized facts are incorporated into the models: A correlation between the previous returns and their conditional variance, and return errors following four different error distributions namely Normal, Student-t, non-central Student-t, and generalized hyperbolic skew Student-t. The analysis is based on the application of daily returns data from nine foreign currency selling rates to IDR from 2010 to 2015, including the AUD, CHF, CNY, EUR, GBP, JPY, MYR, SGD, and USD. The main results are: (1) Mixed evidence of positive and negative relationships between the return and its variance were found, especially significant correlations being found for the IDR/AUD, IDR/CHF, IDR/JPY, IDR/SGD, and IDR/USD returns series; (2) the model with the generalized hyperbolic skew Student's t-distribution specification for the returns error provides the best performance; and (3) anchoring the IDR to established hard currencies is more appropriate than anchoring it to other currencies.</dc:description>
<dc:publisher xml:lang="en-US">Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada</dc:publisher>
<dc:contributor xml:lang="en-US">the Ministry of Research, Technology and Higher Education of the Republic of Indonesia via Competitive Grant No. 001/K6/KM/SP2H/RISTEKTERAPAN/2016 and Satya Wacana Christian University</dc:contributor>
<dc:date>2018-08-30</dc:date>
<dc:type>info:eu-repo/semantics/article</dc:type>
<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
<dc:type xml:lang="en-US">Peer-reviewed Article</dc:type>
<dc:format>application/pdf</dc:format>
<dc:identifier>https://journal.ugm.ac.id/gamaijb/article/view/26006</dc:identifier>
<dc:identifier>10.22146/gamaijb.26006</dc:identifier>
<dc:source xml:lang="en-US">Gadjah Mada International Journal of Business; Vol 20, No 2 (2018): May-August; 165-185</dc:source>
<dc:source>2338-7238</dc:source>
<dc:source>1411-1128</dc:source>
<dc:language>eng</dc:language>
<dc:relation>https://journal.ugm.ac.id/gamaijb/article/view/26006/22048</dc:relation>
<dc:rights xml:lang="en-US">Copyright (c) 2018 Gadjah Mada International Journal of Business</dc:rights>
<dc:rights xml:lang="en-US">http://creativecommons.org/licenses/by-sa/4.0</dc:rights>
</oai_dc:dc>
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APA 7
Nugroho, D. B., Mahatma, T., & Pratomo, Y. (2018). Modeling of Stochastic Volatility to Validate IDR Anchor Currency. Gadjah Mada International Journal of Business (GamaIJB), 20(2), 165–185. https://doi.org/10.22146/gamaijb.26006
Salin
IEEE
D. B. Nugroho, T. Mahatma, and Y. Pratomo, “Modeling of Stochastic Volatility to Validate IDR Anchor Currency,” Gadjah Mada International Journal of Business (GamaIJB), vol. 20, no. 2, pp. 165–185, 2018, doi: 10.22146/gamaijb.26006.
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