Early Detection Of Currency Crisis In Indonesia Based On Jci Indicator Using A Combination Of Volatility And Markov Switching Models
نویسندگان
چکیده
Currency crises have occurred in Indonesia 1997-1998 and 2008, causing significant losses both terms of economy social life. Therefore, a system is needed that can detect currency to create economic stability. Crises be detected through indicators such as Stock Exchange Composite Index (IDX Composite) or Jakarta (JCI). This study aims determine the appropriate model predict crisis from November 2022 October 2023 based on JCI indicator. The begins by forming an AR model, then volatility form ARCH finally combined Markov switching two-state model. used smoothed probability crises. results indicate MS-ARCH(2,1) detection results, it found will not experience 2023.
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ژورنال
عنوان ژورنال: Jurnal Indonesia Sosial Teknologi
سال: 2023
ISSN: ['2723-6609', '2745-5254']
DOI: https://doi.org/10.59141/jist.v4i3.608