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Abstrak :
Model Markov Switching GARCH adalah model untuk runtun waktu yang dapat menangkap fenomena pengelompokan volatilitas. Pengelompokan volatilitas adalah keadaan dimana runtun memiliki variabilitas yang tidak sama untuk seluruh periode. Model ini adalah perluasan dari model GARCH dimana parameternya dapat melakukan pergantian nilai (switching) yang bergantung dari state rantai Markov sehingga nilainya tidak tetap untuk seluruh periode runtun. Mekanisme switching dari model Markov Switching ini mengikuti proses rantai Markov yang tidak terobservasi. Pada skripsi ini, akan dibahas mengenai struktur dan penaksiran parameter model Markov Switching GARCH. Penaksiran parameter menggunakan maximum likelihood estimator tidak dapat dilakukan karena masalah path dependence, sehingga penaksiran parameter akan dilakukan menggunakan Algoritma Monte Carlo Expectation-Maximization (MCEM) dan Monte Carlo Maximum Likelihood (MCML). Model Markov Switching GARCH ini kemudian akan diaplikasikan untuk runtun nilai tukar US Dollar (USD) terhadap Indonesian Rupiah (IDR).

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Markov Switching GARCH is a model for time series that can capture volatility clustering phenomenon. Volatility clustering is a condition when time series has no same variability for entire period. This model is an extension of the GARCH model in which the parameters can do the switching that depend on the state of the Markov chain so that the value is not fixed for the entire period. The switching mechanism of Markov Switching GARCH model follow the unobserved Markov chain process. In this undergraduate thesis, it will be discussed the structure and the parameter estimation of Markov Switching GARCH model. Parameter estimation using maximum likelihood estimator can not be done because of the path dependence problem, so that the parameter estimation will be carried out using Monte Carlo Expectation-Maximization (MCEM) dan Monte Carlo Maximum Likelihood (MCML) algorithm. Markov switching GARCH model will be applied to exchange rate US Dollar (USD) to Indonesia Rupiah (IDR) series.

Abstrak :
The private pension system that was initiated in 2003 in Turkey included increasing employment by generating long term resources to the economy and contributing to economic development among its manifold aims. This paper investigates the effect of the private pension scheme on domestic savings in Turkey between the period 2003Q4-2018Q3. Bounds Test employed revealed that a cointegrating relationship exists between the private pension fund and domestic savings in Turkey. The ARDL model is used to examine the short and the long term relationship among the variables. Also the Fully Modified OLS (FMOLS), Dynamic OLS (DOLS) and Markov Switching Regression models are employed to check for robustness. It is concluded that private pension system does in fact contribute to domestic national savings in Turkey.

Abstrak :
Penelitian ini bertujuan untuk mengetahui hubungan antara currency mismatch dan terjadinya sudden stop aliran modal asing dengan menggunakan estimasi model Markov-Switching untuk periode 1990-2018. Penelitian ini menggunakan aliran masuk modal bruto (gross capital inflow) sebagai proksi dari pinjaman mata uang asing di Indonesia. Penelitian ini menemukan bukti empiris dimana currency mismatch mempunyai dampak signifikan terhadap terjadinya sudden stop aliran modal asing di Indonesia. Penelitian ini juga menemukan bukti empiris dimana aliran modal asing sektor publik cenderung bersifat counterbalance dengan aliran modal sektor swasta. Ekspektasi durasi rata-rata dan nilai transisi kemungkinan probabilitas (transition regime probability) dari terjadinya sudden stop aliran modal asing di Indonesia cenderung singkat, yang berarti probabilitas terjadinya sudden stop di Indonesia cenderung kecil. Penelitian ini juga menemukan bahwa faktor global merupakan pemicu terhadap terjadinya sudden stop di Indonesia, sementara faktor domestik meningkatkan terjadinya sudden stop di Indonesia. ......This paper aims to investigate the correlation between the consequence of massive foreign currency borrowing, related to the currency mismatch, and sudden stop of liability inflow in Indonesia using the Markov-Switching model, for the period 1990-2018. This paper uses the gross capital inflow as the proxy of foreign currency borrowing in Indonesia, since the gross capital inflow represents the liability in the national balance of payments. This paper finds that currency mismatch has significant impact to the sudden stop occasion in Indonesia. This study also finds that gross capital inflow in public sector has a counterbalance effect with private-sector gross capital inflow. The expected duration of the sudden stop episodes is around three quarters during the sample period. This paper also finds that the global factors acts as a trigger to the sudden stop episodes in Indonesia and the domestic factors, particularly the currency mismatch, exacerbate its impact in Indonesia.

Abstrak :
ABSTRAK
Penelitian ini mengembangkan permodelan gelembung harga saham rasional dan irasional menggunakan model state-space dengan markov switching. Gelembung harga saham merupakan unobserved variable yang dapat ditentukan dengan pendekatan teori ekspektasi rasional dimana dalam penelitian ini gelembung harga saham ditentukan oleh informasi ekstraneus yang terdiri dari faktor eksternal dow jones Index dan Hangseng Index dan faktor internal faktor politik dan keamanan . Untuk menganalisis unobserved variable tersebut digunakan model state-space yaitu Kalman Filter. Selain itu gelembung harga saham dapat megalami perubahan struktural yang juga bersifat unobserved yaitu adanya gelembung harga saham irasional. Dikarenakan gelembung irasional juga bersifat unobserved maka digunakan model markov switching.Untuk melihat bagaimana model state space dengan markow switching bekerja, penelitian ini menerapkan model tersebut pada data harga saham Indonesia periode Januari 1989 hingga Desember 2013. Hasil estimasi model menunjukan bahwa DJIA berpengaruh positif signifikan terhadap gelembung harga saham di Indonesia, sedangkan HSI tidak berpengaruh signifikan. Dari faktor internal, faktor politik berpengaruh negatif signifikan terhadap gelembung harga saham di Indonesia, sedangkan faktor keamanan tidak berpengaruh signifikan. Dengan permodelan ini, gelembung harga saham rasional dan irasional dapat di identifikasi di pasar modal Indonesia namun gelembung harga saham tidak terjadi setiap tahun selama periode penelitian.

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ABSTRACT
This paper develops a model of rational and irrational stock price bubbles using State Space Model with Markov Switching. Stock price bubbles are the unobserved variables that can be determined with rational expectations theory approach, which in this study is determined by stock price bubbles extraneous information consisting of external factors Dow Jones Index and the Hang Seng Index and internal factors political and security factors . A state space model, Kalman filter, is used to analyze this unobserved variables. Stock price bubbles may undergo structural changes that are also unobserved, namely the irrational stock price bubble. Thus, due to this unobserved nature, the Markov switching model is used to analyze this unobserved structural changes. To see how the model state space with Markov switching works, this study applies the model to the Indonesian stock price data from the period of January 1989 to December 2013. The result of the model estimation shows that the external factor, DJIA has significant positive effects, whereas HSI has no significant effect on the stock price bubble in Indonesia. The result from internal factors shows that a political factor has significant negative effect, whereas the safety factor has no significant effect on the stock price bubble in Indonesia. Furthermore, this model could help identify the rational and irrational stock price bubble in the Indonesian stock market, nonetheless, this stock price bubbles do not occur every year during the study period.

Abstrak :
ABSTRAK
Pertumbuhan keuangan syariah di dunia semakin mendapatkan perhatian baik dari segi keilmuan maupun praktik di dunia nyata. Pengamatan yang dilakukan kebanyakan menggunakan model linear yang kurang sesuai digunakan untuk pemodelan riset keuangan. Selain itu, dinamika pergerakan dari waktu ke waktu seharusnya menjadi perhitungan lebih dalam pengamatan yang dilakukan. Dengan menggunakan estimasi model regresi linear dan Markov regime switching, penelitian terhadap pasar saham syariah di ASEAN, MENA, dan Eropa periode Desember 2008 ndash; Desember 2017, penelitian ini bertujuan untuk melihat dampak atau pengaruh variabel indeks konvensional dan makroekonomi seperti inflation rate dan perubahan interest rate terhadap return saham syariah di negara-negara dengan sistem pasar saham ganda. Hasil penelitian menunjukkan keberadaan pengaruh return indeks konvensional terhadap return indeks syariah di seluruh regional dan setiap regime. Variabel makroekonomi tidak terlalu menunjukkan pengaruh. Inflation rate hanya signifikan berpengaruh pada sampel Eropa pada model regresi linear dan ketika volatilitas rendah, sementara perubahan interest rate hanya signifikan berpengaruh di ASEAN pada saat volatilitas tinggi dan di Eropa pada model regresi linear.

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ABSTRACT<>br> The growth of Islamic finance increasingly have become focus both in terms of science and practice in the real world. Most observations used a linear model, which was less suitable for financial research modeling. In addition, the dynamics of stock markets over time should be given more consideration while doing the observation. By estimating linear regression model and Markov regime switching, this research on Islamic stock market in ASEAN, MENA, and Europe during December 2008 December 2017 aims to see the impact or influence of conventional index and macroeconomic variables such as inflation rate and interest rate on Islamic stock returns in dual stock market systems. The results show the existence of the effect of conventional return index on syariah index return across the region and under every regime, meanwhile macroeconomic variables do not show much significance of its effect. Inflation rate only has significant effect on European market in linear regression model and when the volatility is low, while changes in interest rate are only significantly influential in ASEAN at the time of high volatility and in Europe in linear regression model.