ANALISIS MODEL MARKOV SWITCHING VECTOR AUTOREGRESSIVE (MS-VAR): STUDI SIMULASI PADA PERUBAHAN REZIM STRUKTURAL

Darvi Mailisa Putri

Abstract


Penelitian ini mengkaji perubahan struktural pada data time series multivariat menggunakan model Markov Switching Vector Autoregressive (MS-VAR) orde satu dengan dua regime. Model ini diterapkan pada data hasil simulasi untuk menangkap dinamika nonlinier yang tidak dapat dijelaskan secara memadai oleh model VAR linier. Estimasi dilakukan dengan mengizinkan switching pada komponen rata-rata dan varians, sementara koefisien autoregresif dipertahankan tetap. Hasil menunjukkan adanya perbedaan karakteristik antar-regime, terutama pada level dan volatilitas. Estimasi probabilitas transisi menjelaskan bahwa kedua regime bersifat persisten, dengan probabilitas bertahan sebesar 0,94 dan 0,92. Berdasarkan nilai tersebut, durasi ekspektasi regime pertama sekitar 16,7 periode, sedangkan regime kedua sekitar 12,5 periode. Selanjutnya, analisis smoothed probabilities menunjukkan segmentasi waktu yang jelas antar-regime. Hal ini menjelaskan bahwa MS-VAR efektif dalam menangkap dinamika dan perubahan struktural data.

Keywords


Markov Switching, Vector Autoregressive, Rezim

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DOI: https://doi.org/10.15548/map.v8i1.13790

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