Analisis Dependensi Faktor Makroekonomi terhadap Tingkat Harga Emas Dunia dengan Pendekatan Copula

Sri Wati Agustini, Mustika Hadijati, Nurul Fitriyani

Abstract


Gold is a precious metal that used many times as an alternative investment. Before investing, every investor requires relevant information to make profitable investment decisions. Relevant information can be obtained by looking at the dependency relationship between variables. In identifying the relationship between variables, a Copula approach could be used, since it is not tight against the assumption of normality, which is common in macroeconomic variables. Copula used were Archimedean Copula family, such as Clayton, Frank, and Gumbel.  The results of this study indicated that the Archimedean Copula of the Frank family is the best Copula models to explain the structure of dependencies between gold and each composite stock price index and exchange rate, with each parameter obtained were 2.286 and -2.2390, respectively, while Clayton Copula family was the best Copula models to explain the structure of dependencies between gold and oil, with parameter obtained was 3.4090.

Keywords


Archimedean Copula; Composite Stock Price Index; Correlation; Exchange Rate; Oil

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DOI: https://doi.org/10.29303/emj.v1i2.37

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