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

Authors

  • Sri Wati Agustini Universitas Mataram
  • Mustika Hadijati Universitas Mataram
  • Nurul Fitriyani Universitas Mataram

DOI:

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

Keywords:

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

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.

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Published

2019-12-31

How to Cite

Agustini, S. W., Hadijati, M., & Fitriyani, N. (2019). Analisis Dependensi Faktor Makroekonomi terhadap Tingkat Harga Emas Dunia dengan Pendekatan Copula. EIGEN MATHEMATICS JOURNAL, 1(2), 82–91. https://doi.org/10.29303/emj.v1i2.37

Issue

Vol. 2 No. 2 Desember 2019

Section

Articles

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All articles published in the Eigen Mathematics Journal will be available for free reading and downloading. The license applied to this journal is Creative Commons Attribution-Non-Commercial-Share Alike (CC BY-NC-SA).

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