USD/IDR Exchange Rate Volatility Analysis During the Middle East Geopolitical Conflict Using the Return Standard Deviation Approach
Keywords:
Volatility, USD/IDR Exchange Rate, Standard Deviation, Log Return, Jarque-Bera TestAbstract
Abstract. Currency exchange rate volatility is an indispensable indicator in measuring the level of uncertainty, risk, and stability of a country's financial market when facing shocks caused by external conditions. This study aims to measure the level of volatility in the USD/IDR exchange rate and test its probability distribution characteristics during the Middle East geopolitical conflict, spanning from January 28, 2026, to March 28, 2026. The data used in this study is daily time series data of the USD/IDR exchange rate obtained from the official Bank Indonesia website, applying a quantitative approach and transforming the daily USD/IDR exchange rate data into log return form, where the degree of dispersion is measured using the standard deviation of log returns. Formal statistical validation was performed using the Jarque-Bera Test to ensure whether daily data fluctuations are normally distributed. The research results obtained a daily log return mean of 0.000337 and a volatility level measured by standard deviation of 0.003360 or 0.336%. Additionally, there is a skewness value of -0.017331 illustrating a symmetrical distribution, while the kurtosis value of 4.345194 illustrates a leptokurtic curve shape. The normality test using the Jarque-Bera Test yielded a test statistic of 4.451421 with a probability value of 0.107991, which is greater than $\alpha = 0.05$, indicating that the USD/IDR log return data is normally distributed. The obtained results state that despite Middle East geopolitical tensions and oil supply disruptions due to the closure of the Strait of Hormuz, the USD/IDR exchange rate volatility remains in a very low and stable category, illustrating the resilience of the domestic foreign exchange market and effective monetary policy.
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