Kurs JISDOR selama pandemi COVID-19 berpengaruh terhadap perekonomian Indonesia, sehingga tujuan penelitian ini adalah memodelkan data kurs pandemi. Model dibentuk mengikuti sifat- sifat yang dimiliki tersebut. Data memiliki tren dan non stasioner, maka di differencing 1, menjadi stasioner setelah uji ADF. Kemudian sesuai plot ACF, PACF, nilai minimum AIC SIC didapatkan model tepat ARIMA(1,1,1)...

* ون ي ،لوئسم هدنس نابايخ نارهت ـ ب يناهفـصا يفرشا ا زا رتلا ق هكل پ كنو كلاپ مجنپ هچوك 14 نفلت : 09122092651 email: [email protected] فده و هنيمز : رُخرُخ اـب هـك باوـخ رد مد ماگنه رد يسفنت دنلب يادص زا تسا ترابع و تدـش زا يـفلتخم تاـجرد يم زورب سناكرف ديامن . رُخرُخ يراتفرگ ببس ار يدايز هرمزور و يعامتجا ياه يم دوش . رد نام شور لماش و يـبط ياـه يم يحارج دشاب . تيدودـحم و ضراوـع تـلع...

he great workhorse of applied econometrics is the least squares model. This is a natural choice, because applied econometricians are typically called upon to determine how much one variable will change in response to a change in some other variable. Increasingly however, econometricians are being asked to forecast and analyze the size of the errors of the model. In this case, the questions are ...

This paper analyzes the application of the Markov-switching ARCH model (Hamilton and Susmel, 1994) in improving value-at-risk (VaR) forecast. By considering a mixture of normal distributions with varying variances over different time and regimes, we find that the “spurious high persistence” found in the GARCH model is adjusted. Under relative performance and hypothesis-testing evaluations, the ...

هديكچ فده و هقباس : راتسرپ هفرح ي م رد سرتسارپ لغاشم ردص رد ي ب لغاشم نا تشاده ي نامرد و ي لـماوع و دراد رارـق سرتسا از ي لغش ي ددعتم ي ناور تملاس ي لغاش ي ا ن ي م رارق رطخ ضرعم رد ار هفرح ن ي دهد . فدـه اـب رـضاح شهوژپ سررب ي ت أ ث ي نت لماوع ر ي گد ي ناور تملاس رب از ي نانمس رهش ناراتسرپ دش ارجا . شور و داوم اه : رامآ هعماج ي زا دوب ترابع لك ي ر ناراتسرپ ه مس ي ب ي ناتسرام اه ي رهش هك ...

Financial series such as stock returns follow a different generating process from the relevant economic series. The key different between each other is that financial time series have some key features which cannot be captured by models such as ARMA. ARMA, which is referred as autoregressive moving-average, models consist a good approximation for economic series but not for financial series. In...