Proceedings of the 3rd International Conference on Accounting, Management and Economics 2018 (ICAME 2018) 2019
DOI: 10.2991/icame-18.2019.6
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Exchange Rate Forecasting and Value-at-Risk Estimation on Indonesian Currency Using Copula Method

Abstract: This study aims to determine the future value and the value-at-risk estimation of four selected currencies, namely United States Dollar (USD), Australian Dollar (AUD), European Union Euro (EUR) and Japanese Yen (JPY) against Indonesian Rupiah (IDR). The Monte-Carlo simulation is implemented to estimate the future value of each currency relationship and integrating it with the concept from the copula method; the risk value estimation is conducted using Value-at-Risk (VaR), and the VaR estimation is within the r… Show more

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Cited by 1 publication
(2 citation statements)
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“…The foreign exchange market is becoming highly volatile day by day making it more difficult to predetermine returns or risk even though it is an age long trend that the risk involve in trading cannot be overestimated which may be due to various reasons. For instance, during the 2008 global financial crisis, the risk in foreign exchange rate was a scourge that has always been a burden because of the weakening of the exchange rate over the strength of the world's anchor currency [6]. This study is to empirically determine future risk of investing on trading in foreign exchange.…”
Section: Introductionmentioning
confidence: 99%
See 1 more Smart Citation
“…The foreign exchange market is becoming highly volatile day by day making it more difficult to predetermine returns or risk even though it is an age long trend that the risk involve in trading cannot be overestimated which may be due to various reasons. For instance, during the 2008 global financial crisis, the risk in foreign exchange rate was a scourge that has always been a burden because of the weakening of the exchange rate over the strength of the world's anchor currency [6]. This study is to empirically determine future risk of investing on trading in foreign exchange.…”
Section: Introductionmentioning
confidence: 99%
“…Therefore, estimation of risk involve in trading on foreign exchange through the use of appropriate probability to determine period by period risk is of great important to investors. Some of the methods are VaR estimation and the forecast using the Monte-Carlo simulation [6], historical simulation method [7,8] and parametric method [9].…”
Section: Introductionmentioning
confidence: 99%