文章基本信息

标题：The Volatility Processes In Indonesia’s Demand For Narrow Money
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作者：Syamsul Hidayat Pasaribu
期刊名称：Economic Journal of Emerging Markets
印刷版ISSN：2086-3128
出版年度：2002
卷号：7
期号：2
语种：English
出版社：Universitas Islam Indonesia
摘要：There were two purposes of this research. The first purpose was to test and search the volatility processes by using ARCH/GARCH methodology in Indonesia’s demand for narrow money estimation, which was approached by error correction modeling (ECM). The empirical evidences had shown that the estimation of Indonesia’s demand for narrow money contained the volatility processes (GARCH processes). The second purpose was to prove that the estimation of ECM, which contained the GARCH processes, had the better abilities for prediction than its benchmark. For this pur-pose, the research compared the predictive powers of Root Mean Squared Error (RMSE), Mean Absolute Error (MAE), and Mean Absolute Parentage Error (MAPE). However, the empirical evidences supported the second purpose.Keywords: error correction modeling (ECM), volatility processes, ARCH, GARCH, narrow money.