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All Journal IAES International Journal of Artificial Intelligence (IJ-AI) FORUM STATISTIKA DAN KOMPUTASI Media Statistika SAINSMAT CAUCHY: Jurnal Matematika Murni dan Aplikasi Jurnal Teknologi Informasi dan Ilmu Komputer JUITA : Jurnal Informatika JOIN (Jurnal Online Informatika) Padjadjaran Journal of Dentistry Jurnal Matematika Sains dan Teknologi Journal of Regional and Rural Development Planning BAREKENG: Jurnal Ilmu Matematika dan Terapan JOURNAL OF APPLIED INFORMATICS AND COMPUTING MATRIK : Jurnal Manajemen, Teknik Informatika, dan Rekayasa Komputer Jambura Journal of Mathematics ComTech: Computer, Mathematics and Engineering Applications Inferensi International Journal of Advances in Data and Information Systems Jurnal Statistika dan Aplikasinya Euler : Jurnal Ilmiah Matematika, Sains dan Teknologi SAINSMAT: Jurnal Ilmiah Ilmu Pengetahuan Alam Jurnal Natural Xplore: Journal of Statistics Journal of Mathematics, Computation and Statistics (JMATHCOS) Indonesian Journal of Statistics and Its Applications
Yenni Angraini
Department Of Statistics And Data Science, Faculty Of Mathematics And Natural Science, IPB University, Indonesia
Agriculture, Biological Sciences & Forestry Humanities Astronomy Biochemistry, Genetics & Molecular Biology Chemistry Civil Engineering, Building, Construction & Architecture Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Dentistry Earth & Planetary Sciences Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Environmental Science Health Professions Immunology & microbiology Mathematics Mechanical Engineering Medicine & Pharmacology Neuroscience Physics Public Health Social Sciences Transportation Other

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Journal : ComTech: Computer, Mathematics and Engineering Applications

 1 
Comparison of the Symmetric and Asymmetric Generalized Autoregressive Conditional Heteroscedasticity (GARCH) Models in Forecasting the 2018-2023 Jakarta Composite Index Yenni Angraini; Adelia Putri Pangestika; I Made Sumertajaya
ComTech: Computer, Mathematics and Engineering Applications Vol. 15 No. 1 (2024): ComTech
Publisher : Bina Nusantara University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21512/comtech.v15i1.10610

Abstract

The Autoregressive Integrated Moving Average with Exogenous Variables (ARIMAX) method assumes a homogeneous residual variance, but data with high volatility can cause violations of this assumption. Hence, it is interesting to compare the forecasting accuracy of symmetric and asymmetric Autoregressive Conditional Heteroskedasticity (ARCH) models in various data conditions. The research aimed to compare the accuracy of the symmetric ARCH/ Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and asymmetric TGARCH models in forecasting weekly Jakarta Composite Index (JCI) data on January 1st, 2018, to April 24th, 2023, by involving the influence of COVID-19 as a covariate variable and applying several validation scenario models to training and testing data. Based on the best-selected model, forecasting was carried out from May 1st, 2023, to July 3rd, 2023. The data used were weekly JCI opening data from January 1st, 2018, to April 24th, 2023, with the COVID-19 period as a covariate variable. The analysis results show that symmetric and asymmetric methods can handle violations of the heteroscedasticity assumption in the ARIMAX model. The best model produced based on four data validation scenarios is the asymmetric ARIMAX(3,1,3)-TGARCH(1,2) model with an average MAPE value of 3.158%. In this model, the COVID-19 variable significantly influences the JCI movement. Forecasting is done with forecasting results that are stable with confidence intervals that widen in each period.
Co-Authors Aam Alamudi Achmad Noerkhaerin Putra Adelia Putri Pangestika Akbar Rizki Akbar Rizki Al Maida, Mahda Amaliya, Sri Amanda, Nabila Tri Amatullah, Fida Fariha Anang Kurnia Andika Putri Ratnasari Anisa, Rahma Anistia Iswari Antique Yusuf, Rakesha Putra Arbaynah, Siti Ariesanti, Yessy ASEP SAEFUDDIN Azahran, Muhammad Ryan Azkiya, Azka Al Bagus Sartono Berliana Apriyanti Billy, Billy Cintani, Meavi Dian Kusumaningrum Dzulhij Rizki, Muhammad Abshor Eka Dewi Pertiwi Else Virdiani Fachry Abda El Rahman Fadhilah, Nur Anggraini Fadillah, Maulana Ahsan Fira Nurahmah Al Aminy Fitri, Zafira Ilma Fitrianti, Dwi Fitrianto, Anwar Ghiffary, Ghardapaty Ghaly Gunawan, Windi Hakim, Bashir Ammar Hari Wijayanto Hasanah, Mauizatun Hilali Moh’d, Fatma I Made Sumertajaya Ilma, Meisyatul Ilmani, Erdanisa Aghnia Indahwati Isnaini, Mardatunnisa Itasia Dina Sulvianti Jamaluddin Rabbani Harahap Kenia Maulidia Kurnadipare, Aleytha Ilahnugrah Kusman Sadik Lia Ratih Kusuma Dewi Magfirrah, Indah Maghfiroh, Firda Aulia Mahesa Ahmad Rahmawan Mahesa, Hakim Zoelva Maulidiyah, Wildatul Moh'd, Fatma Hilali Mohammad Abror Gustiansyah Mohammad Masjkur Mualifah, Laily Nissa Atul Mualifah, Laily Nissa Atul  MY, Hadyanti Utami Nabila Ghoni Trisno Hidayatulloh Nabila Ghoni Trisno Hidayatulloh Nensi, Andi Illa Erviani Nickyta Shavira Maharani Nizar, Yeky Abil Nugraha, Adhiyatma Nur Aziza, Vivin Nurhambali, Muhammad Rizky Oksi Al Hadi Oktaviani Aisyah Putri Pratiwi, Windy Ayu Putri Zainal Putri, Adelia Putri, Mega Ramatika Putri, Rizki Alifah Raffael Julio Roger Roa Rahmasari, Hazelita Dwi Rahmi, Salsabila Dwi Ramadhani, Dini Ramdani, Indri Riana Riskinandini Riska Yulianti, Riska Rizki, Akbar Rizki, Anwar Fajar Setyowati, Silfiana Lis Siregar, Indra Rivaldi Steven Kurniawan Suci Pujiani Prahesti Suwarso, Dhiya Khalishah Tsany Syam, Ummul Auliyah Tendi Ferdian Diputra Tias Amalia Safitri Tsabitah, Dhiya Tsabitah, Dhiya Ulayya Ulfia, Ratu Risha Utami Dyah Syafitri Wahyudina, Salsa Putri Wiwiek Poedjiastoeti, Wiwiek Wiwik Andriyani Lestari Ningsih Wiwik Andriyani Lestari Ningsih Yanuari, Eka Dicky Darmawan Yully Sofyah Waode Zulhijrah, Zulhijrah