Modeling of Stochastic Volatility to Validate IDR Anchor Currency
Modeling of Stochastic Volatility to Validate IDR Anchor Currency
复制标题
随机波动率建模以验证 IDR 锚定货币
DOI：
10.22146/gamaijb.26006
复制
发表时间：
2018
影响因子：
0.7
通讯作者：
Yulius Pratomo
中科院分区：
文献类型：
--
作者：
D. Nugroho;Tundjung Mahatma;Yulius Pratomo
本研究旨在利用印尼银行（BI）的日常数据，评估随机波动率模型对外汇收益率波动率的估计。然后将该模型应用于锚定货币印尼盾（IDR）的验证。模型中包含了两个风式化的事实：先前的回报与其条件方差之间的相关性，以及四种不同误差分布（即正态分布、Student-t、非中心Student-t和广义双曲偏态Student-t）的回报误差。该分析基于2010年至2015年期间九种外币卖出汇率对印尼卢比的每日回报数据，包括澳元、瑞士法郎、人民币、欧元、英镑、日元、马来西亚林吉特、新加坡元和美元。主要结果如下：(1)印尼卢比/澳元、印尼卢比/瑞郎、印尼卢比/日元、印尼卢比/新元和印尼卢比/美元的收益率与方差之间存在正相关和负相关的混合证据；(2)具有广义双曲偏态Student's t分布规范的模型对返回误差具有最佳性能；(3)将印尼卢比锚定在既定硬通货上比锚定在其他货币上更合适。
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.
实现了具有不对称效应和广义学生 t 分布的非线性随机波动率模型
DOI：
--
发表时间：
2014
期刊：
Journal of the Japan Statistical Society
影响因子：
--
作者：
Amirullah Setya Hardi;Ken-ichi Kawai;Sangyeol Lee and Koichi Maekawa;永田修一;Takayuki Morimoto and Didit Budi Nugroho;Koichi MAEKAWA and Ken-ichi KAWAI;久松 博之;Didit Budi NUGROHO and Takayuki MORIMOTO;Takayuki MORIMOTO and Shuichi NAGATA;得津康義;Didit Budi NUGROHO and Takayuki MORIMOTO
通讯作者：
Didit Budi NUGROHO and Takayuki MORIMOTO
当模型维度增长时，非嵌套模型选择的贝叶斯因子的一致性。
影响因子：
1.5
作者：
Bajo,K.;Itose,S.;Matsuya;M.;Ishihara;M.;Uchino;K.;Kudo;M.;Sakaguchi;I. and Yurimoto;H.;Min Wang and Yuzo Maruyama
通讯作者：
Min Wang and Yuzo Maruyama