Estimation of Exchange Rate Volatility using APARCH-type Models: A Case Study of Indonesia (2010–2015)
Volatiliy measurement and modeling is an important aspect in many areas of finance. The main purpose of this study is to apply seven APARCH-type models with (1,1) lags to investigate the behavior of exchange rate volatility for the EUR, JPY, and USD selling exchange rates to IDR for the duration fro...
| Main Authors: | , , |
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| Format: | Article |
| Language: | Indonesian |
| Published: |
Universitas Negeri Malang
2017-02-01
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| Series: | Jurnal Ekonomi dan Studi Pembangunan |
| Online Access: | http://journal.um.ac.id/index.php/jesp/article/view/8086 |