Detection of Financial Crisis in Indonesia based on Import and Yen Exchange Rate to Rupiah Indicators using Combined of Volatility and Markov Switching Models

Sugiyanto, Etik Zukhronah, Isna Ruwaidatul Azizah

2018

Abstract

In 1997 and 1998 Indonesia experienced the most severe financial crisis, so early detection is needed to anticipate the impact of the crisis. The financial crisis can be detected by import and yen exchange rate to rupiah indicators. In this paper, it used import and yen exchange rate to rupiah data from January 1990 to December 2016 to form the model, while the data from January until December 2017 were used to validate the model. To overcome the problem of structural change in the data, it is used Markov switching model, while to detect the volatility shift it is used ARCH model and the combination of both models is Markov switching ARCH (SWARCH) model. The aim of this study is to determine the appropriate model and to detect financial crisis based on import and yen exchange rate to rupiah indicators. The results show that the appropriate model for import and yen exchange rate to rupiah data is SWARCH(2,1). Based on the model, it can be predicted that Indonesia will not experience a financial crisis in 2018.

Paper Citation

in Harvard Style

Zukhronah E., Sugiyanto. and Azizah I. (2018). Detection of Financial Crisis in Indonesia based on Import and Yen Exchange Rate to Rupiah Indicators using Combined of Volatility and Markov Switching Models.In Proceedings of the International Conference on Mathematics and Islam - Volume 1: ICMIs, ISBN 978-989-758-407-7, pages 205-209. DOI: 10.5220/0008519402050209

in Bibtex Style

@conference{icmis18,
author={Etik Zukhronah and Sugiyanto and Isna Ruwaidatul Azizah},
title={Detection of Financial Crisis in Indonesia based on Import and Yen Exchange Rate to Rupiah Indicators using Combined of Volatility and Markov Switching Models},
booktitle={Proceedings of the International Conference on Mathematics and Islam - Volume 1: ICMIs,},
year={2018},
pages={205-209},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0008519402050209},
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 - Detection of Financial Crisis in Indonesia based on Import and Yen Exchange Rate to Rupiah Indicators using Combined of Volatility and Markov Switching Models
SN - 978-989-758-407-7
AU - Zukhronah E.
AU - Sugiyanto.
AU - Azizah I.
PY - 2018
SP - 205
EP - 209
DO - 10.5220/0008519402050209