Aplikasi Model Arch Kasus Tingkat Inflasi Di Indonesia
The goal of this study is to apply ARCH model in estimating financial time series in Indonesia with montly data of inflation during 1994.1-2002.4 period and to compare it with OLS model. The inflation data exhibit volatility, suggesting that variance of inflation varies over time. By using the ARCH model, the results prove that ARCH-M model with maximum likelihood estimation gives better results than the OLS one.
Metrics powered by PLOS ALM
Economic Journal of Emerging Markets (EJEM)
ISSN 2086-3128 (print), ISSN 2502-180X (online)
Center for Economic Studies, Department of Economics,
Universitas Islam Indonesia, Indonesia.
EJEM by http://journal.uii.ac.id/index.php/JEP/ is licensed under a Creative Commons Attribution 4.0 International License.