PENDETEKSIAN EXCHANGE MARKET PRESSURE DI KAWASAN ASEAN-5 (Pendekatan Model DCC MGARCH)
The aim of this undergraduate thesis is to analyze and determine the exchange market pressure (EMP) in ASEAN-5. The EMP is detected through dynamic conditional correlation bertween exchange rate ASEAN-5 volatility. Dynamic Conditional Correlarion Multivariate GARCH (DCC MGARCH) is the method used in...
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| 格式: | Theses and Dissertations NonPeerReviewed |
| 出版: |
[Yogyakarta] : Universitas Gadjah Mada
2013
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| 主題: | |
| 在線閱讀: | https://repository.ugm.ac.id/120049/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=60056 |
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| 總結: | The aim of this undergraduate thesis is to analyze and determine the
exchange market pressure (EMP) in ASEAN-5. The EMP is detected through
dynamic conditional correlation bertween exchange rate ASEAN-5 volatility.
Dynamic Conditional Correlarion Multivariate GARCH (DCC MGARCH) is the
method used in this thesis.
The data of exchange rate ASEAN-5 is from International Financial Statistic
data, such as Indonesia rupiah per US $, Filipina ringgit per US $, Thailand bath
per US $, Malaysia ringgit per US $, and Singapura $ per US $. The analysis
results show there is any dynamic conditional correlation between exchange rate
ASEAN-5 volatility. It proves that there is EMP in ASEAN-5, caused by global
financial crisis in 1997-1998 or 2008, or transmission of volatility spillover. |
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