Pengaruh Kurs USD Terhdap Indeks Harga Saham Gabungan di Bursa Efek Jakarta  

Oleh:

Ulupui, I.G.K.A.

Jenis: Article from Journal - ilmiah nasional
Dalam koleksi: Modus Jurnal Ekonomi dan Bisnis vol. 19 no. 2 (Sep. 2007), page 104-119.
Topik: ARCH (Autorgressive Conditional Heteroscedastic); GARCH (Generalized Autorgressive Conditional Heteroscedastic)
Fulltext: Pengaruh Kurs USD Terhdap Indeks Harga Saham Gabungan di Bursa Efek Jakarta.pdf (11.76MB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: MM57.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

this research aims to see the effect of USD rate of exchange to JSX index at Jakarta Stock Exchange. There are four econometric forecasting. Those are Single Regression Model, Simultaneously Regression Model, ARIMA and Vector Auto Regression (VAR). This research compared three models to estimate the effect of the US dollar rate to the JSX short term index. The models used in this study are Single Regression Model, Generalized Autorgressive Conditional Heteroscedastic (GARCH) and VAR. The result indicated that VAR (1,2) can best predict the effect of the US dollar rate to the JSX index than the two other models. (Upload Full-Text_Ali_Desember 2023)

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