Pemodelan Nilai Tukar USD/IDR dengan Gaussian Mixture Autoregression (GMAR)

Deva Apriani Nurul Huda, Lienda Noviyanti, Soemartini Soemartini

Abstract


Nilai tukar rupiah terhadap dolar AS (USD/IDR) mengalami pergerakan yang berfluktuasi dan beberapa tahun terakhir cenderung terdepresiasi. Sebagai salah satu variabel makroekonomi, nilai tukar USD/IDR dipengaruhi oleh berbagai faktor dan perubahan kondisi yang diperkirakan akan berpengaruh terhadap struktur data deret waktu sehingga fenomena regime switch sangat mungkin terjadi. Penelitian ini memodelkan nilai tukar USD/IDR dengan model Gaussian Mixture Autoregressive (GMAR). Berdasarkan hasil analisis dengan data nilai tukar USD/IDR periode 2006-2018 serta ukuran ketepatan AIC, HQIC dan BIC, diperoleh model GMAR(4,2) dengan empat lag dan dua regime yang tepat untuk pemodelan nilai tukar USD/IDR.


Keywords


nilai tukar; GMAR; regime switch; AIC; BIC;

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References


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