Exchange Rate Forecasting and Value-at-Risk Estimation on Indonesian Currency Using Copula Method

Sirait, Kevin Bastian and Simatupang, Batara Maju (2019) Exchange Rate Forecasting and Value-at-Risk Estimation on Indonesian Currency Using Copula Method. In: Proceedings of the 3rd International Conference on Accounting, Management and Economics 2018 (ICAME 2018).

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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.

Item Type:	Conference or Workshop Item (Paper)
Subjects:	H Social Sciences > HG Finance
Depositing User:	Mr. Batara Maju Simatupang
Date Deposited:	09 Jun 2020 09:24
Last Modified:	09 Jun 2020 09:24
URI:	http://repository.ibs.ac.id/id/eprint/394

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