Modeling of Stochastic Volatility to Validate IDR Anchor Currency
Abstract
Keywords
DOI: 10.22146/gamaijb.26006
References
Abdalla, S. Z. S. and P. Winker. 2012. Modelling stock market volatility Using univariate GARCH models: Evidence from Sudan and Egypt. International Journal of Economics and Finance 4 (8): 161-176.
Andersson, H., and T. Britton. 2000. Stochastic Epidemic Models and Their Statistical Analysis. New York: Springer-Verlag.
Black, F. 1976. Studies of stock market volatility changes. Proceedings of the 1976 Meetings of the Business and Economic Statistics. American Statistical Association: 177-181.
Bollerslev, T. 1986. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31 (3): 307-327.
Chen, M.-H., and Q-M. Shao. 1999. Monte carlo estimation of Bayesian credible and HPD intervals. Journal of Computational and Graphical Statistics 8 (1): 69.
Cont, R. 2007. Volatility clustering in financial markets: Empirical facts and agent-based models. In G. Teyssière and A. P. Kirman (Eds.). Long Memory in Economics. Berlin: Springer, pp.289-309.
Conway, E. 2009. UN wants new global currency to replace dollar. [online] Available at: <https://www.telegraph.co.uk/finance/currency/6152204/UN-wants-new-global-currency-to-replace-dollar.html> [Accessed 24 Nov. 2017].
Corsetti, G., P. Pesenti, and N. Roubini. 1999. What caused the Asian currency and financial crisis? Japan and the World Economy 11 (3): 305-373.
Degiannakis, S. and C. Floros. 2015. Modelling and Forecasting High Frequency Financial data. London: Palgrave Macmillan UK.
Dickey, D. A., and W. A. Fuller. 1979. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74 (366): 427.
Eichengreen, B. 2005. Sterling's Past, Dollar's Future: Historical Perspectives on Reserve Currency Competition. [online] Cambridge, MA. Available at: <http://www.nber.org/papers/w11336.pdf>.
Engle, R. F. 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50 (4): 987-1007.
Gelfand, A. E., and D. K. Dey. 1994. Bayesian model choice: Asymptotics and exact calculations. Journal of the Royal Statistical Society. Series B (Methodological), .
Goyal, A. 2017. Intervention and signaling: Interaction between central banks and FX markets in an emerging market. The Singapore Economic Review 62 (1): 193-225.
Harvey, A. C., and N. Shephard. 1996. Estimation of an asymmetric stochastic volatility model for asset returns. Journal of Business and Economic Statistics 14 (4): 429.
Ho, K.-Y., Y. Shi, and Z. Zhang. 2017. Does news matter in China's foreign exchange market? Chinese RMB volatility and public information arrivals. International Review of Economics and Finance 52: 302-321.
IMF Website. 2016. IMF Adds Chinese Renminbi to Special Drawing Rights Basket. [online]. Available at: <http://www.imf.org/en/News/Articles/2016/09/29/AM16-NA093016IMF-Adds-Chinese-Renminbi-to-Special-Drawing-Rights-Basket> [Accessed 15 Nov. 2017].
Kass, R. E., and A. E. Raftery. 1995. Bayes factors. Journal of the American Statistical Association. [online] 90(430), pp.773-795. Available at: <http://www.jstor.org/stable/2291091?origin=crossref>.
Kim, S. -J. 2015. Australian gollar carry trades: Time varying probabilities and determinants. International Review of Financial Analysis 40: 64-75.
Kompas. 2015. Importir Kena Dampak Rupiah (March) (14): 1.
Laopodis, N. T. 2005. Feedback trading and autocorrelation interactions in the foreign exchange market: Further evidence. Economic Modelling 22 (5): 811-827.
Lee, S.-Y., and X-Y. Song. 2008. Bayesian model comparison of structural equation models. Random Effect and Latent Variable Model Selection. New York: Springer Science and Business Media: 121-150.
Los, C. A. 2003. Financial Market Risk: Measurement and Analysis. London: Routledge.
Low, C. 2004. The fear and exuberance from implied volatility of SandP 100 index options. The Journal of Business 77 (3): 527-546.
Moon, W., 2007. A case for a coordinated basket for Asian countries. In A Basket Currency for Asia 124-141. New York: Routledge
Moreno, E., F. J. Girón, and G. Casella. 2010. Consistency of objective Bayes factors as the model dimension grows. Annals of Statistics 38 (4): 1937-1952.
Mukhlis, I., 2011. Analisis volatilitas nilai tukar mata uang rupiah terhadap dolar. Journal of Indonesian Applied Economics, 5(2), pp.178-182.
Nugroho, D.B. and Morimoto, T., 2014. Realized non-linear stochastic volatility models with asymmetric effects and generalized Student's t-distributions. Journal of the Japan Statistical Society, 44(1), pp.83-118.
Nugroho, D.B. and Morimoto, T., 2015. Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-Based methods. Computational Statistics, 30(2), pp.491-516.
Nugroho, D.B. and Morimoto, T., 2016. Box-Cox realized asymmetric stochastic volatility models with generalized Student's t -error distributions. Journal of Applied Statistics, 43(10), pp.1906-1927.
Nugroho, D.B. and Susanto, B., 2017. Volatility modeling for IDR exchange rate through APARCH model with student-t distribution. In: AIP Conference Proceedings. AIP Publishing LLC, p.40005.
Nugroho, D.B., Susanto, B. and Pratama, S.R., 2017. Estimation of exchange rate volatility using APARCH-type models: A case study of Indonesia (2010-2015). Jurnal Ekonomi dan Ekonomi Studi Pembangunan, 9(1), pp.65-75.
Ogawa, E. and Shimizu, J., 2009. Currency denomination in Asian Bond Markets. In: K. Hamada, B. Reszat and U. Volz, eds., Towards monetary and financial integration in East Asia. Cheltenham: Edward Elgar Publishing Limited.
Poon, S.-H., 2005. A practical guide to forecasting financial market volatility. Chichester: John Wiley and Sons.
Saadah, S. and Panjaitan, Y., 2016. The green shoe option's effectiveness at stabilizing the IPO's stock price on the Indonesian Stock Exchange (2000-2013). Gadjah Mada International Journal of Business, 18(1), p.71.
Salim, F.C., Nugroho, D.B. and Susanto, B., 2016. Model volatilitas GARCH(1,1) dengan error Student-t untuk kurs beli EUR dan JPY terhadap IDR. Jurnal MIPA, 39(1), pp.63-69.
Salvatore, D., 2013. International economics. 11th ed. New York: John Wiley and Sons.
Saputri, E.D., Nugroho, D.B. and Setiawan, A., 2016. Model volatilitas ARCH(1) dengan return error berdistribusi skewed Student-t. Jurnal MIPA, 39(1), pp.78-84.
Sekerke, M., 2015. Bayesian risk management: A guide to model risk and sequential learning in financial markets. New York: John Wiley and Sons.
Sumiyana, S., 2007. Behavior of stock price variability over trading and nontrading periods, and daily return volatility. Gadjah Mada International Journal of Business, 9(3), pp.409-453.
Tan, Z., 2008. Monte Carlo integration with Markov chain. Journal of Statistical Planning and Inference 138 (7): 1967-1980.
Taylor, S. J. 1982. Financial returns modelled by the product of two stochastic processes —A study of the daily sugar prices 1961-75. In N. Shephard (Ed.), Stochastic volatility: Selected readings: 60-82. Oxford University Press.
Taylor, S. J. 1994. Modeling stochastic volatility: A review and comparative study. Mathematical Finance 4 (2): 183-204.
Triady, M. S., R. Kurniasari, A. F. Utami, and M. I. Sofyan. 2016. Investigation of leverage effect in Indonesian Stock Market. International Journal of Economics and Management 10 (S1): 1-17.
Tsay, R. S. 2010. Analysis of Financial Time Series (3rd ed.). New York: John Wiley and Sons.
Tsiotas, G. 2012. On generalised asymmetric stochastic volatility models. Computational Statistics and Data Analysis 56 (1): 151-172.
van der Ploeg, A. P. C. 2006. Stochastic Volatility and the Pricing of Financial Derivatives. Amsterdam: Rozenberg Publishers.
Wang, M., and Y. Maruyama. 2016. Consistency of Bayes factor for nonnested model selection when the model dimension grows. Bernoulli [online] 22 (4): 2080-2100. Available at: <http://projecteuclid.org/euclid.bj/1462297675>.
XE Website. 2017. IDR - Indonesian Rupiah. [online]. Available at: <http://www.xe.com/currency/idr-indonesian-rupiah> [Accessed 6 Nov. 2017].
Yu, J., Z. Yang, and X. Zhang. 2006. A class of nonlinear stochastic volatility models and its implications for pricing currency options. Computational Statistics and Data Analysis 51 (4): 2218-2231.
Refbacks
- There are currently no refbacks.
Copyright (c) 2018 Gadjah Mada International Journal of Business
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.