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Journal : Contemporary Mathematics and Applications (ConMathA)

 1 
Application of the ARIMA-GARCH Model for Forecasting Indonesia's Monthly Inflation Rate Anisa; Yudistira, Ira; Yulianto, Tony
Contemporary Mathematics and Applications (ConMathA) Vol. 7 No. 1 (2025)
Publisher : Universitas Airlangga

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20473/conmatha.v7i1.60263

Abstract

Inflation is one of the important aspects that is used as a benchmark to see economic growth and economic conditions in each country. Inflation has resulted in increasing public expenditure in meeting basic needs. Inflation must be controlled to maintain the economic stability of a country, including Indonesia. Therefore, there is a need for a model that can forecast the inflation rate in Indonesia. The aim of this research is to create a model that can predict future inflation levels so that it can help the government in determining policies related to controlling inflation in Indonesia. The data used is monthly inflation data in Indonesia for 19 years from March 2007- October 2023 in percentage form. The forecasting model used in this study is the ARIMA-GARCH model. The ARIMA model is a time series model used to forecast future data based on past data. While GARCH is a time series model used to overcome heteroscedasticity in the ARIMA model. Inflation data will be modeled using the ARIMA model and then continued by modeling the residuals using the GARCH model if heteroscedasticity occurs in the ARIMA model residuals. Based on data analysis that has been done, the best model for inflation forecasting cases in Indonesia is the ARIMA (2,0,2) - GARCH (0,1) model with a MAPE value of 17.78%.
Co-Authors Aang Praboyo Abdul jalil Adelia Rohaeni Adhitya Wibisono Adilah Salsabila Adiningsih, Retnowati Adrian, Maulana Widi Ahcmad Zakky Mubaroq Ahmad Fachrurrazi Ahmad Kurtusi Ahmad Zakiy Aliem Bahri, Aliem Alifah Amanda, Riska Amelia Ameliani, Indri Amri, Samsul Amril, Imti Ananda Putri, Ananda Andi Nurfadilah Aninda Rizki Maulida Anis Nurfaidah Annisa Sanny Annissa Mawardini Anton Apri Wahyudi Aprilliana, Annisa Ardatulloh, Fouqi Arfi Syamsun Arifuddin M. Arif Arum Sekar Wangi Asep Sopian Asih Handayani Asrul Aulia Eka Putri Ayu Kurnia Sari Azkal Muhammad Azkiya Baharullah Bakri M. Besse Wilda Chaerul Sani Chesa Hanif Atharik Cici Rianty K. Bidin Deassy Arestya Saksitha Della Aureliya Devi Novrita Dexa Egi Nassandi Dida Ningtias Diena Widyastuti Diky Rian Rozaky Dina Dita Faradillah Diyah Fadillah Dwi Sinta Dwi, Nova Edi Ardian, Edi Effriyanti Elfiana Eliza Rusliana Br Harahap Eni Eni Nugraeni Ernawati Ester Angeline Etriyani Karolina Br Sembiring fadhilah amalia wahyuddin Faisal Abdillah Fandi Nugroho Farhan, Muhammad Afif Febrian Ahmad D Febrianti, Nur Feriyadin Fidya Fita Fatimah, Fita Fitri, Syawalia Ghaida Refiana Zahra Ginta Puspita Habibah, Karin Arbyati Hadianto Nur Fadhli Hafizah Khaira Nasution HAMIDAH Hanafi , Ahmad Hardayani, Yorry Hartono Hartono Herliana Firera Hidayah, Noor Riefma Hilmi Hambali, Hilmi Husni, Raudatul Huwaida, Alya Huzaimah, Naili Idir Tamsil Imainul Aprilian, Rahil Imran, Muh. Erwinto Indah Eka Sasfitri Iqlima Azhar Jamal, Miftahul Jannah JAMALUDIN Jayanto, Geral Jumsa, Muhammad Rizkinov Kausar, Nova Khaerunnizah Khoerunisa, Intar Liza febriyani M Danang Mukti Darmawan Magfirah, Nurul Maman Abdurrahman Marsaulina Sirait Maxinus Jaeng Ma’ruf MIFTAHUL JANNAH Moch. Riza Fahmi Muhammad Fathurahman Rizky MUHAMMAD TAUFIK Munawarah Mursam Musyaffa Nadia Nadia Karisma Nanda Octavia Nani Fitriono, Eko Nasrul Kahfi Lubis Naufal Ridho Setyo Laksono Noni Ardi Novayanti Magdalena Gultom Nur Arrum Nur Hamzah Nurajijah Bella Nurdiyanti Nuriska Nurjannah Nurul Fadhilah Panaungi, Yasrial Rifqi Pratama, Rekha Yunia Putri, Julia Rabbani, Hanif 'Imaduddien Rabiah Rafidah, Luluk Rahma Amelia Purnama Rahmah Mulanti Rahman, Riem Rahayu Rahmawati Ramdani, Aisyah Resti Dwi Anjani Ridwan Siskandar Rifki R Rifqi Nurfadillah Rina Purnamawaty Riska Rizal Rizaldi Rusdi Sulaiman Rusdin Saefudin Zuhri Saeful Anwar Sahri Saidah Syamsuddin Sampara, Nirwana Samsinar Sari , Fitria Sayuti , Muhammad Noor Sephiona Shafa Sika Raemif Akbar Sirojul Fahmi Siti Robeatul Adawiyah Siti, Nunung Sofyan Alhaq Sonny T. Lisal Sri Yunita Suraida Salat Sudrajat, Anjani Sulfah Yulianti Syahrianah Syahran Syihabuddin Thahir, Rahmatia Tiara R Tirtayani , Luh Ayu Tony Yulianto Tulsa’dia, Nurhalimah Vivi Oxana Putri Wahyu Hidayat Wahyudin, Muhammad Ade Widia Astuti Widyawati Wiyoto Wiyoto Yari Dwikurnaningsih Yasmin, Dinda Siti Yogopriyatno, Jatmiko Yudistira, Ira Yulia Wardita YULIANI Yustinus Windrawanto