PERAMALAN KURS TRANSAKSI BANK INDONESIA TERHADAP MATA UANG DOLLAR AMERIKA (USD) DENGAN MENGGUNAKAN MODEL ARCH/GARCH

Authors

  • Ari Pani Desvina Jurusan Matematika Fakultas Sains dan Teknologi UIN Suska Riau
  • Sari Marlinda Jurusan Matematika Fakultas Sains dan Teknologi UIN Suska Riau

DOI:

https://doi.org/10.24014/sitekin.v11i1.714

Keywords:

ARCH/GARCH, ARIMA, Box-Jenkins, kurs beli

Abstract

Penelitian ini membahas tentang model peramalan data kurs transaksi Bank Indonesia terhadap mata uang dollar Amerika,  pada Januari 2007 sampai dengan Desember 2011. Tujuan penelitian ini yaitu untuk membentuk model peramalan data kurs transaksi Bank Indonesia khususnya data kurs beli menggunakan model ARCH/GARCH. Hasil yang diperoleh menunjukkan bahwa model ARCH(1) adalah model yang sesuai untuk peramalan data kurs beli. Data training dan testing diambil dari bulan Januari 2007 sampai bulan Juli 2011 dan dari bulan  Agustus  2011 sampai Desember 2011. Hasil ramalan menunjukkan bahwa data training dan data testing memiliki pola yang sama dan peramalan untuk bulan berikutnya memberikan gambaran bahwa kurs transaksi khususnya kurs beli mengalami peningkatan.


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Published

2014-10-14

Issue

Vol. 11 No. 1 (2013): Desember 2013

Section

Articles

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