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All Journal BAREKENG: Jurnal Ilmu Matematika dan Terapan JURNAL PENDIDIKAN TAMBUSAI Jurnal Pengabdian Magister Pendidikan IPA Jurnal Aplikasi Statistika & Komputasi Statistik InPrime: Indonesian Journal Of Pure And Applied Mathematics Kolaborasi Jurnal Pengabdian Masyarakat ANWARUL: Jurnal Pendidikan dan Dakwah Prosiding Seminar Nasional Official Statistics Nanggroe: Journal Of Scholarly Service Jurnal Ilmiah Multidisiplin Amsir Nanggroe: Journal of Scholarly Service PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON DATA SCIENCE AND OFFICIAL STATISTICS Jurnal Ekonomi dan Pembangunan Indonesia Economic and Finance in Indonesia MERDEKA: Jurnal Ilmiah Multidisiplin Tarqiyatuna: Jurnal Pendidikan Agama Islam dan Madrasah Ibtidaiyah Jurnal Miftahul Ilmi: Jurnal Pendidikan Agama Islam
Neli Agustina
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Journal : InPrime: Indonesian Journal Of Pure And Applied Mathematics

 1 
A Comparative Analysis of ARCH/GARCH and Decomposition-ARIMA Models for Gold Price Forecasting in Indonesia Hutajulu, Ronald; Agustina, Neli
InPrime: Indonesian Journal of Pure and Applied Mathematics Vol 6, No 2 (2024)
Publisher : Department of Mathematics, Faculty of Sciences and Technology, UIN Syarif Hidayatullah

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15408/inprime.v6i2.40249

Abstract

Gold is considered a low-risk investment, serving as a hedge asset and haven against inflation and economic shocks. While gold prices exhibit an increasing trend in the long term, they are subject to short-term fluctuations. Accurate gold price prediction is crucial for investors to maximize returns. This research aims to identify the most suitable method for forecasting gold prices in Indonesia, comparing the decomposition-ARIMA and ARCH-GARCH models. The findings reveal that the decomposition-ARIMA(2,1,2) method surpasses the GARCH(1,0) model in accuracy. The forecasting results indicate an upward trend in gold prices, with an average IDR of 1,209,214.11. This study demonstrates the superior accuracy of the decomposition-ARIMA method for gold price forecasting in Indonesia, offering valuable insights for investors seeking to optimize their investment strategies.Keywords: ARCH-GARCH model; Forecasting; Gold; Volatility. AbstrakEmas dianggap sebagai investasi berisiko rendah, berfungsi sebagai aset hedge dan safe haven yang aman terhadap inflasi dan guncangan ekonomi. Meskipun harga emas menunjukkan tren peningkatan dalam jangka panjang, harga emas juga dapat mengalami fluktuasi dalam jangka pendek. Prediksi harga emas yang akurat sangat penting bagi investor untuk memaksimalkan keuntungan. Penelitian ini bertujuan untuk mengidentifikasi metode yang paling sesuai untuk meramalkan harga emas di Indonesia, dengan membandingkan model dekomposisi-ARIMA dan model ARCH-GARCH. Temuan menunjukkan bahwa metode dekomposisi-ARIMA(2,1,2) melampaui akurasi model GARCH(1,0). Hasil peramalan menunjukkan adanya tren kenaikan harga emas dengan harga rata-rata Rp 1.209.214,11. Kontribusi studi ini terletak pada demonstrasi akurasi metode dekomposisi-ARIMA yang unggul dalam peramalan harga emas di Indonesia, sehingga menawarkan wawasan berharga bagi investor yang ingin mengoptimalkan strategi investasinya. Kata Kunci: Model ARCH-GARCH; Prediksi; Emas; Volatilitas. 2020MSC: 62M10.
Co-Authors Agustinningtyas, Diska Ahdiyaty Rahmi A. Suaib Aisyah Bintang Ali Mutafi Alia, Fitri Anggun Anggun, Anggun Arif Rahman Arifa, Ziida As-Sikah, Sarah Asshidiq, Isna Aissatussiri Bagus Dwi Hari Setyono Baiq Dinda Inges Mutiara Hati Budi Asih Chaterina Dwi Puspita Dhika Aulia Yusram Dominicus Savio Priyarsono Dyah Nur Isnaini El-Abida, Syifa Fauziah Fatimatuzzuhra Fatkhurrohman Fatkhurrohman Faujan, La Ode febriyanti febriyanti Gampar, Yohanes Apriyano Hadisumarno, Rieska Hayati, Lia Aulia Huliatunisa, Yayah Hutajulu, Ronald Ilma Ainun Fitriana Izzatul Fitriani Junaidah, Emy Khabiburrochman, Adam Kharistia Capriati Lestari, Simping Puji Mahfiroh, Nailil Martha Zalukhu Maulida, Fitri Mutiara Sinaga, Vhania Mutmainah, Arifatul Muzaki, Fais Nova Aji Saputra Nurfadhillah, Septy Nurrohmah, Nadia Oktavia, Anisa Prasasti, Defi Prawesty Dian Utami Prihatin, Siti Prilistiana, Indi Rahmat, Ervan Nur Resky Amelia Robert Kurniawan, Robert Sabastya, Alfian Setiyo, Ulfan Simbolon, Ani Ngalemisa Solihin, Rahmat Soraya, Rani Surahman, Fikri Suroyo, Sigit Adhi Syahrul Huda, Muhammad Reza Triawan, Adis Uswatun, Ulia