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All Journal Jurnal Pilar Sains Jurnal Online Mahasiswa (JOM) Bidang Matematika dan Ilmu Pengetahuan Alam Jurnal Sains Matematika dan Statistika Science and Technology Indonesia Sinkron : Jurnal dan Penelitian Teknik Informatika Seminar Nasional Teknologi Informasi Komunikasi dan Industri Indonesian Journal of Chemistry Instructional Development Journal Jurnal Keluarga Berencana Abdi: Jurnal Pengabdian dan Pemberdayaan Masyarakat KAIBON ABHINAYA : JURNAL PENGABDIAN MASYARAKAT Journal of Applied Engineering and Technological Science (JAETS) Al-Muqayyad Indonesian Journal of Electrical Engineering and Computer Science Jurnal Statistika dan Aplikasinya Jambura Journal of Mathematics Education Unri Conference Series: Community Engagement Jurnal Ketenagakerjaan J-ABDIPAMAS (Jurnal Pengabdian Kepada Masyarakat) Indonesian Journal of Advanced Social Works (DARMA) Journal of Mathematics, Computation and Statistics (JMATHCOS)
Arisman Adnan
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Journal : Science and Technology Indonesia

 1 
Dynamic Modeling of Energy Data: World Crude Oil and Coal Prices 2017-2023 (A State-Space Model Analysis of Multivariate Time Series) Russel, Edwin; Wamiliana; Usman, Mustofa; Elfaki, Faiz AM; Adnan, Arisman; Lindrianasari
Science and Technology Indonesia Vol. 10 No. 4 (2025): October
Publisher : Research Center of Inorganic Materials and Coordination Complexes, FMIPA Universitas Sriwijaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26554/sti.2025.10.4.1301-1311

Abstract

The analysis of global crude oil and coal prices has attracted considerable research interest, as these prices significantly affect both society and industry, making the topic highly relevant for governments and policy makers. This study examines the correlation between global coal and crude oil prices from 2017 to 2023. It analyzes the behavior of these price series using a unit root test and develops an optimal model for conducting a Granger-causality analysis. To forecast crude oil and coal prices for the next 30 periods, a state-space modeling approach is applied. The unit root test results reveal that these prices are non-stationary, suggesting that any shocks to prices will have persistent effects. The best-fitting model for the association between coal and crude oil prices is a vector autoregressive model of order two (VAR(2)). The Granger-causality results reveal that current crude oil prices are influenced by both their own past values and previous coal prices, and vice versa. Forecasts using the state-space model suggest a modest upward trend for crude oil prices over the next 30 periods, while coal prices are projected to rise more strongly.
Co-Authors ', Firdaus Abdul Somad Batubara Afrianto Daud Agus Ika Putra Agus Kurniawati Ahmad Fadli Ahmad Jamaan Amun Amri Anne Mudya Yolanda Asri Elvita Ayu Agustiani Azhari Setiawan Azra Aulia Dwiputri Bustami Bustami Defrinaldi Absari Deni Rizaldi Devri Maulana Ecelly Indriani Putri Elfaki, Faiz AM Endah Dwi Jayanti Enno Yuniarto Fatayat Feblil Huda Febrianti, Lusi Ferdian Fadly Fikri Marwansyah Firdaus ' Fitra Lestari Goldameir, Noor Ell Gustriza Erda Haposan Sirait Haposan Sirait Harison ' Harison Harison Heru Angrianto Ibnu Daqiqil ID Icha Yulia Ilyas Husti Indra, Zul Irfansyah Irfansyah Isnaini ' Isti Yuliani Iswadi HR Iwantono Iwan Barnawi Jusman, Yessi K Khairat Kesi Marseliani Khairunnisa, Siska Khairunnissa, Khairunnissa Khusnal Marzuqo Lindrianasari Liza Yarmanita Mardiyah Muhgni Maria Erna Mayangsari Mayangsari Mirza Hardian Mohammad Saeri Mustofa Usman Nabilah Fitriyyah Delfira Nike Syelfina Noor Ell Goldameir Nurhayati, Nurhayati Nurqolbi, Leliyana Ody Azis Saputra Okta Bella Syuhada Putri Sion Cahayana Putri Susanti Rahmad Kurniawan Rahmad Ramadhan Laska Rahwana Saputra Raudatul Yusra Ridho Tri Mulya Riko Febrian Rini, Ari Sulistyo Riski Rahmadani Rosma, Iswadi Hasyim Russel, Edwin Rustam Efendi Rustam Efendi S. Siswanto Satibi, Syawal Sehatta Saragih Sibuea, Nuraini Sigit Sugiarto Silalahi, Divo Dharma Sillaturahim Sirait, Tesa Theresia Siska Yuliati Soewignjo Agus Nugroho Sukma Novia Syafitri Sukoco Sukoco Sul Kantri Rahma Wanti Sunarno Syamsu Herman Syamsudhuha Syamsudhuha T, Masrina Munawarah Tengku Irfan Wira Buana Tira Mei Darnis Titi Solfitri Tuti Alawiyah Wamiliana Windy Lasma Sari Purba Windy Maya Sari Wirda Hia Yenita Roza Yennita Y Zul Indra