Financial Crisis Model in Indonesia Based on Indonesia Composite Index (ICI) and Dollar (US) Exchange Rates to Rupiah Indicators

Sugiyanto, Isnandar Slamet, Sri Subanti, Etik Zukhronah, Winita Sulandari

2018

Abstract

An open economy is a new order of the world economic system that has provided space for all countries to interact and have integrity with one another. The economy facilitates the entry of foreign investors, but it also impacts the threat of financial crisis that is transmitted through increasingly open trade relations. The movement of the Indonesia Composite Index (ICI) and the dollar (US) exchange rates to rupiah are used to compile a model of the financial crisis in Indonesia. Crisis occurs due to high volatility and changing conditions. Volatility models are used to explain volatility, while changes in conditions can be explained through Markov switching. Therefore combining the volatility and Markov switching models is the best solution to explain the crisis. The goal of this research is to find the model of the financial crisis in Indonesia based on ICI and dollar (US) exchange rates to rupiah. The data that users are monthly data from 1990 to the 2017 year. The result showed that for ICI indicator the combining model is MS(2)-ARCH(1) or SWARCH(2,1) model with a conditional average of AR (2). While based on the dollar (US) exchange rates to rupiah indicator, SWARCH (3.3) model with conditional average of AR(1).

Paper Citation

in Harvard Style

Sugiyanto., Slamet I., Zukhronah E., Subanti S. and Sulandari W. (2018). Financial Crisis Model in Indonesia Based on Indonesia Composite Index (ICI) and Dollar (US) Exchange Rates to Rupiah Indicators.In Proceedings of the International Conference on Mathematics and Islam - Volume 1: ICMIs, ISBN 978-989-758-407-7, pages 46-51. DOI: 10.5220/0008517000460051

in Bibtex Style

@conference{icmis18,
author={Sugiyanto and Isnandar Slamet and Etik Zukhronah and Sri Subanti and Winita Sulandari},
title={Financial Crisis Model in Indonesia Based on Indonesia Composite Index (ICI) and Dollar (US) Exchange Rates to Rupiah Indicators},
booktitle={Proceedings of the International Conference on Mathematics and Islam - Volume 1: ICMIs,},
year={2018},
pages={46-51},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0008517000460051},
isbn={978-989-758-407-7},
}

in EndNote Style

TY - CONF

JO - Proceedings of the International Conference on Mathematics and Islam - Volume 1: ICMIs,
TI - Financial Crisis Model in Indonesia Based on Indonesia Composite Index (ICI) and Dollar (US) Exchange Rates to Rupiah Indicators
SN - 978-989-758-407-7
AU - Sugiyanto.
AU - Slamet I.
AU - Zukhronah E.
AU - Subanti S.
AU - Sulandari W.
PY - 2018
SP - 46
EP - 51
DO - 10.5220/0008517000460051