Exchange Rate Forecasting and Value-at-Risk Estimation on Indonesian Currency Using Copula Method
Authors
Kevin Bastian Sirait, Batara Maju Simatupang
Corresponding Author
Kevin Bastian Sirait
Available Online August 2019.
- DOI
- https://doi.org/10.2991/icame-18.2019.6How to use a DOI?
- Keywords
- Value-at-Risk, Monte-Carlo Simulation, Copula Methods, Exchange Rates
- Abstract
- This study aims to determine the future value and the value-at-risk estimation of four selected currencies, namely United States Dollar (USD), Australian Dollar (AUD), European Union Euro (EUR) and Japanese Yen (JPY) against Indonesian Rupiah (IDR). The Monte-Carlo simulation is implemented to estimate the future value of each currency relationship and integrating it with the concept from the copula method; the risk value estimation is conducted using Value-at-Risk (VaR), and the VaR estimation is within the range of 90%, 95% and 99% confidence interval. The copula method we use in this study is Clayton copula because it has the highest log-likelihood value compared to Frank and Gumbel copula; with an addition, each currency uses their regressive model to see if the selected exchange rates have the characteristic of a seasonal or non-seasonal pattern. The result we obtain in this study are JPY/IDR, and EUR/IDR relationships have the highest simulated loss and estimated risk values in each confidence interval.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Kevin Bastian Sirait AU - Batara Maju Simatupang PY - 2019/08 DA - 2019/08 TI - Exchange Rate Forecasting and Value-at-Risk Estimation on Indonesian Currency Using Copula Method BT - 3rd International Conference on Accounting, Management and Economics 2018 (ICAME 2018) PB - Atlantis Press SP - 49 EP - 62 SN - 2352-5428 UR - https://doi.org/10.2991/icame-18.2019.6 DO - https://doi.org/10.2991/icame-18.2019.6 ID - Sirait2019/08 ER -