Application of GARCH Model in Forecasting IDR/USD Exchange Rate

Khairina Natsir

Research.Publish.Connect.

*Please fill out at least one Field. *Value must be an number!

Title:
ISBN:
Year:
Acronym:
Subject:

Advanced Search Proceedings Search

If you're looking for an exact phrase use quotation marks on text fields.

*Please fill out at least one Field.

Title:
Author:
Affiliation:
Subject:

Advanced Search Papers Search

If you're looking for an exact phrase use quotation marks on text fields.

*Please fill out at least one Field.

Name:
Affiliation:
Country:
Conference:
Subject:

Advanced Search Authors Search

If you're looking for an exact phrase use quotation marks on text fields.

*Please fill out at least one Field.

Name:
Country:
Subject:

Advanced Search Affiliations Search

If you're looking for an exact phrase use quotation marks on text fields.

Proceedings

Proceedings Search *Please fill out at least one Field. *Value must be an number!

Title:
ISBN:
Year:
Acronym:
Subject:

Advanced Search Proceedings Search

If you're looking for an exact phrase use quotation marks on text fields.

Papers

Papers Search *Please fill out at least one Field.

Title:
Author:
Affiliation:
Subject:

Advanced Search Papers Search

If you're looking for an exact phrase use quotation marks on text fields.

Authors

Authors Search *Please fill out at least one Field.

Name:
Affiliation:
Country:
Conference:
Subject:

Advanced Search Authors Search

If you're looking for an exact phrase use quotation marks on text fields.

Advanced Search

Paper

Application of GARCH Model in Forecasting IDR/USD Exchange Rate

In Proceedings of the 7th International Conference on Entrepreneurship and Business Management ICEBM Untar - Volume 1, 168-174, 2018 , Jakarta, Indonesia

Author: Khairina Natsir

Affiliation: Universitas Tarumanagara, Indonesia

Keyword(s): Modeling, Exchange Rate, Garch, Forecasting.

Abstract: Modeling and Forecasting the IDR to USD exchange rate is crucial in business as it provides information on the model of exchange rate fluctuation and taking the right financial decisions. Therefore, financial managers in a multinational company are required to be able to understand exchange rate forecasting in order to make financial decisions to optimize the value of the company. The purpose of this research is to do the modeling and forecasting of IDR exchange rate against USD using GARCH model. The GARCH model is a suitable model used for financial analysis because assuming the existence of heteroscedasticity not a problem but can be used to predict future price volatility. GARCH models pay attention to the variance and errors in doing the forecasting. The results showed that the GARCH model (1,1) was the best model in representing exchange rate movements during the study period. The result of forecasting of IDR to USD exchange rate for 5 days after the research period are 14065, 04072, 14078, 14084 and 14090. (More)

CC BY-NC-ND 4.0

Guest: Register as new SciTePress user now for free.

SciTePress user: please login.

My Papers

You are not signed in, therefore limits apply to your IP address 3.135.205.146

In the current month:

Recent papers: 100 available of 100 total

2⁺ years older papers: 200 available of 200 total

Paper citation in several formats:

Natsir, K. (2019). Application of GARCH Model in Forecasting IDR/USD Exchange Rate. In Proceedings of the 7th International Conference on Entrepreneurship and Business Management - ICEBM Untar; ISBN 978-989-758-363-6, SciTePress, pages 168-174. DOI: 10.5220/0008490001680174

@conference{icebm untar19,
author={Khairina Natsir.},
title={Application of GARCH Model in Forecasting IDR/USD Exchange Rate},
booktitle={Proceedings of the 7th International Conference on Entrepreneurship and Business Management - ICEBM Untar},
year={2019},
pages={168-174},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0008490001680174},
isbn={978-989-758-363-6},
}

TY - CONF

JO - Proceedings of the 7th International Conference on Entrepreneurship and Business Management - ICEBM Untar
TI - Application of GARCH Model in Forecasting IDR/USD Exchange Rate
SN - 978-989-758-363-6
AU - Natsir, K.
PY - 2019
SP - 168
EP - 174
DO - 10.5220/0008490001680174
PB - SciTePress