Pemodelan Threshold Vector Autoregressive (Tvar) untuk Kurs Jual dan Kurs Beli Euro  

Oleh:

Kusdarwati, Heni ; Sumarminingsih, Eni ; Arifin, Evi Mashita

Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI
Dalam koleksi: Jurnal Keuangan dan Perbankan: Journal of Finance dan Banking vol. 13 no. 2 (Dec. 2011), page 150-158.
Topik: Time Series; Nonlinear Models; Vector Autoregressive
Fulltext: pemodelan Threshold Vector Autoregressive (TVAR) untuk kurs jual dan kurs beli Euro - Heni Kusdarwati,Eni Sumarminingsih- Vol.13_No_2_artikel 4.pdf (320.89KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ12 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The use of simultaneous equation model has been widely employed in econo- metric models. Vector Autoregressive Model (VAR) is a form of simultaneous time series models. Linear VAR model has been widely applied to analyze the multivariate relationship, especially in the economic and financial aspects. However, nonlinear behavior in time series data are often found. One model that can be used to capture nonlinear relationships in time series data is Threshold Vector Autoregressive (TVAR) model. TVAR model divides the time series into different regimes that are separated by a different threshold. Threshold is an inflection point where the linearity of the model change. The purpose of this research is to model the exchange EURO for selling and buying using TVAR model with a single threshold. TVAR model is formed for data exchange EURO for selling and buying is TVAR (1) with = 13430.3 and = 13980.7.

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