Analisis Volatilitas pada Hubungan Dinamis antara Nilai Tukar, Tingkat Suku Bunga dan IHSG

Abstract

This paper investigates the dynamic relationship between exchange rate, interest rate and stock market of Indonesia from 2008 to 2017. We estimate long memory and asymmetric volatility in dynamic correlations between these variables using the VAR, FIAPARCH and DCC approach. This study estimates the emergence of long memory and asymmetric volatility in the dynamic relationship between these variables using the VAR and FIGARCH methods. The results showed that there was a strong indication of long memory and asymmetric volatility in all the volatility of the observed data. Asymmetric volatility for unexpected news in Negative results for the foreign exchange and bond markets. Positive shocks for foreign exchange and bond markets will trigger negative sentiment. In addition, the dynamic relationship between the bond market and the stock market is always found to be in a negative correlation. Positive results were obtained on bonds and exchange rates which were the same findings as in other developing countries. While the JCI showed positive results, volatility was more influenced by negative shocks than positive shocks for the stock market. Volatility shift in stock return is estimated using multiple breakpoints. The shift in volatility upwards externally was not caused by Indonesia's global political-economic financial condition. The finding from the analysis of the volatility model is that the presence of shocks in volatility causes abrupt changes in dynamic relationships whose effects are only in the short term.