EMAIL: PASSWORD:
Front Office
UPT. PERPUSTAKAAN
Institut Teknologi Sepuluh Nopember Surabaya


Kampus ITS Sukolilo - Surabaya 60111

Phone : 031-5921733 , 5923623
Fax : 031-5937774
E-mail : libits@its.ac.id
Website : http://library.its.ac.id

Support (Customer Service) :
timit_perpus@its.ac.id








Welcome..guys!

Have a problem with your access?
Please, contact our technical support below:
LIVE SUPPORT


Taufik Rachmanu


Dewi Eka Agustina


Ansi Aflacha Putri


Tondo Indra Nyata


Aprillia Tri Wulansari


Moh. Fandika Aqsa




! ATTENTION !

To facilitate the activation process, please fill out the member application form correctly and completely
Registration activation of our members will process up to max 24 hours (confirm by email). Please wait patiently

Still Confuse?
Please read our User Guide

Keyword
Mode
Expanded Search (for Free text search only)
 
OR You May Search Our Knowledges Using Google Customize Search :

Custom Search

ITS » Research Report » Statistika
Posted by dwi at 13/03/2008 17:13:44  •  23234 Views


PEMODELAN NILAI TUKAR MATA UANG NEGARA-NEGARA ASIA TENGGARA TERHADAP DOLLAR AMERIKA SERIKAT DENGAN MENGGUNAKAN METODE MULTIVARIATE TIME SERIES

Created by :
Irhamah 



SubjectAnalisis multivarian
KeywordMultivariate time series
Vector Autoregression (VAR)
Vector Autoregression Moving Average X (VARMAX)

Description:

Pemodelan nilai tukar mata uang suatu negara dapat dijelaskan melalui faktor internal dan eksternal. Pemodelan yang melibatkan kedua faktor tersebut dapat diselesaikan dengan menggunakan metode multivariate time series. Terdapat beberapa metode multivariate time series antara lain Vector Autoregression (VAR), state space dan Vector Autoregression Moving Average X (VARMAX). Penelitian ini bertujuan untuk membandingkan metode VAR dan VARMAX dalam memodelkan nilai tukar mata uang negara-negara Asia Tenggara terhadap Dollar Amerika Serikat kemudian mencari model terbaik berdasarkan kriteria pembandingan A1C dan SBC. Perbandingan dilakukan pada data pergerakan nilai tukar mata uang negara-negara Asia Tenggara yaitu Rupiah (Indonesia), Ringgit (Malaysia), Dollar Singapore (Singapura), Bath (Thailand), Peso (Filipina), dan Yen (Jepang) terhadap Dollar Amerika Serikat mulai bulan Januari 1999 sampai Maret 2003. Pemodelan Nilai Tukar Mata Uang Negara-negara Asia Tenggara terhadap Dollar Amerika Serikat menggunakan metode VAR, menghasilkan model VARI(l) sebagai berikut: - Sing pada waktu ke-t: Singt = Singt-1 + 0.00002(Rupiaht-1 - Rupiaht-2) - 0.000917 (Pesot-1 - Pesot-2) - Bath pada waktu ke-t: Batht = 1.33490 Batht-1 - 0.33490 Batht.2 sedang pemodelan menggunakan metode VARMAX, menghasilkan model VARIX(1,1) sebagai berikut: - Sing pada waktu ke-t Sing t = Sing t-1 + 0.00002(Rupiaht-1 - Rupiaht-2) - 0.000917 (Peso t-1 - Pesot-2) - Bath pada waktu ke-t Bath t = 1.33490 Bath t-1 - 0.33490 Batht-2 - Peso pada waktu ke-t Peso t = Peso t-1 + 0.00241 yen t-1 Dan ternyata Model VARI(l) lebih baik daripada model VARIX(1,1) karena nilai AIC dan SBCnya lebih kecil.

Date Create:13/03/2008
Type:Text
Format:pdf ; 71 pages
Language:Indonesian
Identifier:ITS-Research-3100005066120
Collection ID:3100005066120
Call Number:ITS 519.53 Irh p


Coverage :
ITS community only

Rights :
Copyright @2005 by ITS Library. This publication is protected by copyright and permission should be obtained from the ITS Library prior to any prohibited reproduction, storage in a retrievel system, or transmission in any form or by any means, electronic, mechanical, photocopying, recording, or likewise. For information regarding permission(s), write to ITS Library


Publication URL :
http://digilib.its.ac.id/pemodelan-nilai-tukar-mata-uang-negaranegara-asia-tenggara-terhadap-dollar-amerika-serikat-dengan-menggunakan-metode-multivariate-time-series-1802.html




[ Free Download - Free for All ]

...No Files...

[ FullText Content - Please, register first ]

  1. ITS-Research-1802-Irhamah.pdf - 2732 KB



Give your Comment here...


 10 Similar Document...



 10 Related Document...






HELP US !
You can help us to define the exact keyword for this document by clicking the link below :

(VAR) , (VARMAX) , Autoregression , Average , Moving , Multivariate , Multivariate time series , Vector , Vector Autoregression (VAR) , Vector Autoregression Moving Average X (VARMAX) , X , series , time



POLLING

Bagaimana pendapat Anda tentang layanan repository kami ?

Bagus Sekali
Baik
Biasa
Jelek
Mengecewakan




49367795


Visitors Today : 1
Total Visitor : 2515712

Hits Today : 1731
Total Hits : 49367795

Visitors Online: 1


Calculated since
16 May 2012

You are connected from 10.199.13.5
using CCBot/2.0 (http://commoncrawl.org/faq/)


ITS Digital Repository Feeds



Copyright © ITS Library 2006 - 2014 - All rights reserved.
Dublin Core Metadata Initiative and OpenArchives Compatible
Developed by Hassan