Kajian Teoritik Persamaan Diferensial Stokastik bagi Kurs Mata Uang (Forex), Kajian Khusus : Kurs IDR/USD

Isa Isnawanti, Dwi Satya Palupi

Abstract

Telah dilakukan kajian persamaan diferensial stokastik bagi pergerakan kurs mata uang. Kajian terhadap rapat peluang return perlu dilakukan karena rapat peluang return menggambarkan fluktuasi kurs mata uang serta mencerminkan interaksi yang terjadi di pasar keuangan. Pada penelitian ini return kurs mata uang diasumsikan mengikuti proses stokastik yang dapat digambarkan oleh suatu persamaan diferensial stokastik, sehingga distribusi rapat peluang return dapat digambarkan oleh persamaan Fokker-Planck. Data yang digunakan pada penelitian ini adalah kurs mata uang IDR/USD dari Januari 2001 sampai Januari 2021 yang diperoleh dari data kurs transaksi Bank Sentral Republik Indonesia. Distribusi rapat peluang return harian yang diperoleh mengikuti distribusi Gaussian dengan rata-rata  −0, 0001 dan sigma = 0, 0048. Berdasarkan distribusi tersebut dapat dibentuk persamaan diferensial stokastik bagi return kurs mata uang IDR/USD.

Keywords

kurs mata uang; rapat peluang return; Gaussian

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DOI: https://doi.org/10.13057/ijap.v13i1.52916

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