Pradita, Anita Esti (2015) Analisis Perbedaan Nilai Tukar Dollar Terhadap Rupiah Disekitar Periode Jatuh Tempo ULN Dan Pemodelan Volatilitasnya Dengan Metode ARCH/GARCH. Undergraduate thesis, Institut Technology Sepuluh Nopember.
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Abstract
Kurs menunjukkan nilai suatu mata uang terhadap mata uang
lain. Nilai kurs selalu berfluktuasi disetiap transaksinya. Fluktuasi
nilai kurs dipengaruhi oleh banyak hal, salah satunya adalah
Utang Luar Negeri (ULN). Para investor dan trader yang
menggunakan dollar sebagai pembayaran untuk transaksi jualbelinya
membutuhkan informasi mengenai tren kenaikan dan
proyeksi kurs pada periode mendatang sebagai pendukung
pengambilan keputusan transaksi jual-beli kurs agar mendapatkan
keuntungan maksimal. Sehingga perhitungan menjadi penting
untuk dilakukan, yaitu dengan menggunakan uji perbedaan ratarata
dua sampel independen dan pendekatan ARCH/GARCH.
Pada penelitian ini, digunakan uji perbedaan rata-rata dua sampel
independen untuk menganalisis kemungkinan adanya tendensi
tren kenaikan kurs dan ARCH/GARCH untuk mengetahui
proyeksi nilai kurs pada periode mendatang. Dari analisis yang
dilakukan, didapatkan kesimpulan bahwa terdapat indikasi adanya
kemungkinan tendensi tren kenaikan kurs disekitar periode jatuh
tempo ULN triwulan IV tahun 2013 dan 2014, model mean yang
sesuai adalah ARMA (0,[51]) dan model varian GARCH (1,2)
dengan rata-rata kurs dollar terhadap rupiah selama tiga bulan
sebesar Rp 12.813,467.
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Exchange rate show value of a currency against another
currency. The exchange rate always fluctuating luminance their
transactions. The exchange rate fluctuations influenced by many
things, one of them is foreign debt (ULN). Investors and traders
who use dollars as payment for the transaction its sell-buy need
information about the trend of increase exchange rate and
projection in the future as a supporter decision-making buying
and selling exchange rate transactions to get maximum profit .So
that the calculations become important to do, namely by using
Independent Two-Sample T-Test and approach ARCH/GARCH.
In this research, used a method of Independent Two-Sample TTest
to analyze the possible tendency the trend of the exchange
rate and ARCH/GARCH to know the value of exchange rate
projection in the future. From analysis undertaken, we get the
conclusion that there is indication of tendency the possibility of
the exchange rate trend around the period of foreign debt
maturity in the fourth quarter in 2013 and 2014, the appropriate
ARMA (0,51) and varians model GARCH (1,2) with an average
exchange rates dollar to rupiah for three months as much as Rp
12.813,467.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Additional Information: | RSMa 515.544 Pra a |
| Uncontrolled Keywords: | kurs, uji perbedaan rata-rata dua sampel independen, ARCH, GARCH |
| Subjects: | H Social Sciences > HA Statistics > HA31.7 Estimation |
| Divisions: | Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | Mr. Tondo Indra Nyata |
| Date Deposited: | 15 Nov 2018 03:35 |
| Last Modified: | 15 Nov 2018 03:35 |
| URI: | http://repository.its.ac.id/id/eprint/59959 |
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