Pemodelan volatilitas asimetris nilai tukar dengan metode Threshold GARCH: studi kasus ASEAN 2000-2013

Abstract

The Leverage effect, as the asymmetric effects of exchange rate volatility, is a condition in which bad news will cause the exchange rate to depreciate, meanwhile good news will not cause the exchange rate to directly depreciate. This research aims to analyse the asymmetric effects of exchange rates volatility with and without structural breaks of the ASEAN countries, by using Threshold GARCH model. The results without structural breaks shows that there is no leverage effect in the exchange rate volatility especially in the two out of nine countries, namely Brunei Darussalam and Singapore. Whereas the asymmetric effect with structural breaks results vary, depending on the break-period of each country. Shocks of the international economy which occur at each break show that Philippines, Cambodia, Malaysia, Vietnam have leverage effect, while other ASEAN coutries have no leverage effect.