Markov Switching Autoregressive Conditional Heteroscedasticity (SWARCH) Model to Detect Financial Crisis in Indonesia Based on Import and Export Indicators

International Conference on Mathematics: Education, Theory and Application

数学;教育

Sugiyanto^1 ; Zukhronah, Etik^1 ; Susanti, Yuliana^1 ; Dwi, Sisca Rahma^1

Study Program of Statistics, Faculty of Mathematics and Natural Sciences, Universitas Sebelas Maret, Indonesia^1

关键词: Autoregressive conditional heteroscedasticity;    Financial crisis;    Financial system;    Import and exports;    Macroeconomic indicators;    Markov switching;    Performance efficiency;    Three state;   

Others  :  https://iopscience.iop.org/article/10.1088/1742-6596/855/1/012048/pdf
DOI  :  10.1088/1742-6596/855/1/012048

学科分类：发展心理学和教育心理学

来源: IOP

【 摘 要 】

A country is said to be a crisis when the financial system is experiencing a disruption that affects systems that can not function efficiently. The performance efficiency of macroeconomic indicators especially in imports and exports can be used to detect the financial crisis in Indonesia. Based on the import and export indicators from 1987 to 2015, the movement of these indicators can be modelled using SWARCH three states. The results showed that SWARCH (3,1) model was able to detect the crisis that occurred in Indonesia in 1997 and 2008. Using this model, it can be concluded that Indonesia is prone to financial crisis in 2016.