The detection of financial crisis using combination of volatility and markov switching models based on real output, domestic credit per GDP, and ICI indicators
作者: SugiyantoEtik ZukhronahMeganisa Setianingrum
作者单位: 1Department of Statistics, Jl. Ir. Sutami No. 36 A, Jebres, Surakarta, Central Java 57126, Indonesia
2Department of Mathematics, Faculty of Mathematics and Natural Science, Sebelas Maret University Jl. Ir. Sutami No. 36 A, Jebres, Surakarta, Central Java 57126, Indonesia
刊名: Journal of Physics: Conference Series, 2018, Vol.1025 (1)
来源数据库: Institute of Physics Journal
DOI: 10.1088/1742-6596/1025/1/012115
原始语种摘要: Open economic system has not only provided ease for every country to interact with each other, but also make it easier to transmitted the crisis. Financial crisis that hit Indonesia in 1997-1998 and 2008 severely impacted the economy, thus a method to detect crisis is required. According to Kamisky et al. [6], crisis can be detected based on several financial indicators such as real output, domestic credit per Gross Domestic Product (GDP), and Indonesia Composite Index (ICI). This research aims to determine the appropriate combination of volatility and Markov switching model to detect financial crisis in Indonesia based on the indicators. Volatility model used for modeling the unconstant-variance of ARMA. Markov switching is an alternative model of time series data with changed conditions...
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关键词翻译
关键词翻译
  • volatility 挥发性
  • crisis 危机
  • financial 财政的
  • indicators 指示器
  • credit 信用
  • domestic 国产的
  • GDP Generalized Data base Processor
  • switching 转换
  • state 状态
  • ARMA AutoRegressive Moving Average