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Modeling of Stochastic Volatility to Validate IDR Anchor Currency
Gadjah Mada International Journal of Business Pub Date : 2018-08-30 , DOI: 10.22146/gamaijb.26006
Didit Budi Nugroho , Tundjung Mahatma , Yulius Pratomo

This study aims to assess the performance of stochastic volatility models for their estimation of foreign exchange rate returns' volatility using daily data from Bank Indonesia (BI). The model is then applied to validate the anchor currency of Indonesian rupiah (IDR). Two stylized facts are incorporated into the models: A correlation between the previous returns and their conditional variance, and return errors following four different error distributions namely Normal, Student-t, non-central Student-t, and generalized hyperbolic skew Student-t. The analysis is based on the application of daily returns data from nine foreign currency selling rates to IDR from 2010 to 2015, including the AUD, CHF, CNY, EUR, GBP, JPY, MYR, SGD, and USD. The main results are: (1) Mixed evidence of positive and negative relationships between the return and its variance were found, especially significant correlations being found for the IDR/AUD, IDR/CHF, IDR/JPY, IDR/SGD, and IDR/USD returns series; (2) the model with the generalized hyperbolic skew Student's t-distribution specification for the returns error provides the best performance; and (3) anchoring the IDR to established hard currencies is more appropriate than anchoring it to other currencies.

中文翻译:

随机波动率模型以验证IDR锚货币

这项研究的目的是使用印尼银行(BI)的每日数据评估随机波动率模型在估算汇率收益率波动率方面的性能。然后将该模型应用于验证印尼盾(IDR)的固定货币。模型中包含了两个程式化的事实:先前收益与它们的条件方差之间的相关性,以及遵循四种不同误差分布的收益误差,即正态,学生t,非中心学生t和广义双曲斜学生t。该分析基于从2010年到2015年从九种外币对IDR的外币汇率计算的每日回报数据,包括澳元,瑞士法郎,人民币,欧元,英镑,日元,马币,新币和美元。主要结果是:(1)发现收益与收益方差之间存在正负关系的混合证据,尤其是IDR / AUD,IDR / CHF,IDR / JPY,IDR / SGD和IDR / USD收益序列之间存在显着的相关性;(2)具有广义双曲线偏斜学生t分布规范的模型为收益误差提供了最佳性能; (3)将IDR锚定到已建立的硬通货比将IDR锚定到其他货币更合适。
更新日期:2018-08-30
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