{"title":"2009 - 2018年短期扼杀策略下卢比和美元的Black-Scholes和Garch模型比较分析","authors":"Riza Hadiana, Riko Hendrawan","doi":"10.55324/josr.v2i10.1431","DOIUrl":null,"url":null,"abstract":"Foreign exchange transaction remains the most liquid trade in the world (Settlements, 2019). This paper examined the exchange rate of the US Dollar against Indonesian Rupiah at which volatility recorded the highest average of 1.98% and the lowest of 1.98% between 2009 and 2018. It shows that the existence of uncertainty or risk for economic actors. According to economists, the thing to protect the value of assets is by using available derivative products, The Option. The first model used for forecasting and determining the Option values is the Black-Scholes Model that uses historical volatility and some GARCH model to determine volatility. In this study, the object of the exchange rate of the US Dollar with Rupiah was comparing to two models using the average mean square error, and see how small the error results obtained. The results of the comparison of those two models found that during a month, the Black Scholes model had smaller errors for call and put values with a percentage of profits using a short strangle strategy was 83.75%. In contrast, over 2 months, the GARCH model showed better for call and put values with a profit percentage was 71.62%. Finally, the Black-Scholes model got a way better for call and put supplies with a percentage of the profit of 72.04% within 3 months.","PeriodicalId":38172,"journal":{"name":"Journal of Social Research and Policy","volume":"46 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2023-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Comparative Analysis of Black-Scholes and Garch Model in Rupiah and American Dollar with Short Strangle Strategy from 2009 to 2018\",\"authors\":\"Riza Hadiana, Riko Hendrawan\",\"doi\":\"10.55324/josr.v2i10.1431\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Foreign exchange transaction remains the most liquid trade in the world (Settlements, 2019). This paper examined the exchange rate of the US Dollar against Indonesian Rupiah at which volatility recorded the highest average of 1.98% and the lowest of 1.98% between 2009 and 2018. It shows that the existence of uncertainty or risk for economic actors. According to economists, the thing to protect the value of assets is by using available derivative products, The Option. The first model used for forecasting and determining the Option values is the Black-Scholes Model that uses historical volatility and some GARCH model to determine volatility. In this study, the object of the exchange rate of the US Dollar with Rupiah was comparing to two models using the average mean square error, and see how small the error results obtained. The results of the comparison of those two models found that during a month, the Black Scholes model had smaller errors for call and put values with a percentage of profits using a short strangle strategy was 83.75%. In contrast, over 2 months, the GARCH model showed better for call and put values with a profit percentage was 71.62%. Finally, the Black-Scholes model got a way better for call and put supplies with a percentage of the profit of 72.04% within 3 months.\",\"PeriodicalId\":38172,\"journal\":{\"name\":\"Journal of Social Research and Policy\",\"volume\":\"46 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-09-14\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Social Research and Policy\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.55324/josr.v2i10.1431\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"Social Sciences\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Social Research and Policy","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.55324/josr.v2i10.1431","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Social Sciences","Score":null,"Total":0}
Comparative Analysis of Black-Scholes and Garch Model in Rupiah and American Dollar with Short Strangle Strategy from 2009 to 2018
Foreign exchange transaction remains the most liquid trade in the world (Settlements, 2019). This paper examined the exchange rate of the US Dollar against Indonesian Rupiah at which volatility recorded the highest average of 1.98% and the lowest of 1.98% between 2009 and 2018. It shows that the existence of uncertainty or risk for economic actors. According to economists, the thing to protect the value of assets is by using available derivative products, The Option. The first model used for forecasting and determining the Option values is the Black-Scholes Model that uses historical volatility and some GARCH model to determine volatility. In this study, the object of the exchange rate of the US Dollar with Rupiah was comparing to two models using the average mean square error, and see how small the error results obtained. The results of the comparison of those two models found that during a month, the Black Scholes model had smaller errors for call and put values with a percentage of profits using a short strangle strategy was 83.75%. In contrast, over 2 months, the GARCH model showed better for call and put values with a profit percentage was 71.62%. Finally, the Black-Scholes model got a way better for call and put supplies with a percentage of the profit of 72.04% within 3 months.
期刊介绍:
Welfare states have made well-being one of the main focuses of public policies. Social policies entail, however, complicated, and sometimes almost insurmountable, issues of prioritization, measurement, problem evaluation or strategic and technical decision making concerning aim-setting or finding the most adequate means to ends. Given the pressures to effectiveness it is no wonder that the last several decades have witnessed the imposition of research-based social policies as standard as well as the development of policy-oriented research methodologies. Legitimate social policies are, in this context, more and more dependent on the accurate use of diagnostic methods, of sophisticated program evaluation approaches, of benchmarking and so on. Inspired by this acute interest, our journal aims to host primarily articles based on policy research and methodological approaches of policy topics. Our journal is open to sociologically informed contributions from anthropologists, psychologists, statisticians, economists, historians and political scientists. General theoretical papers are also welcomed if do not deviate from the interests stated above. The editors also welcome reviews of books that are relevant to the topics covered in the journal.