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Farit Mochamad Afendi
Biopharmaca Research Center, Bogor Agricultural University Department Of Statistic, Faculty Of Mathematics And Natural Sciences, Bogor Agricultural University
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Journal : Limits: Journal of Mathematics and Its Applications

 1 
Perbandingan Metode GARCH, LSTM, GRU, dan CNN pada Peramalan Volatilitas Kurs Septiani, Adeline Vinda; Afendi, Farit Mochamad; Kurnia, Anang
Limits: Journal of Mathematics and Its Applications Vol. 22 No. 1 (2025): Limits: Journal of Mathematics and Its Applications Volume 22 Nomor 1 Edisi Ma
Publisher : Pusat Publikasi Ilmiah LPPM Institut Teknologi Sepuluh Nopember

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.12962/limits.v22i1.3384

Abstract

Currency volatility is an important aspect of time series data analysis in economics and finance. This study aims to compare the performance of four methods: Generalized Autoregressive Conditional Heteroscedasticity (GARCH), Long Short-Term Memory (LSTM), Gated Recurrent Unit (GRU), and Convolutional Neural Network (CNN), in predicting the volatility of the Rupiah against the US Dollar. The data used is daily exchange rates from January 2015 to March 2024. The evaluation is conducted by calculating the Root Mean Square Error (RMSE) and the percentage of actual values within a 95% confidence interval on training and testing data. The results indicate that LSTM achieves the lowest RMSE, with values of 5.30E-05 on training data and 2.50E-05 on testing data, demonstrating high accuracy in capturing non-linear patterns and long-term fluctuations. GRU records the highest percentage of actual values within the confidence interval, at 90.32% for training data and 91.72% for testing data, reflecting superior consistency compared to other methods. Meanwhile, GARCH shows competitive performance but lacks robustness on testing data. CNN exhibits the lowest performance, with high RMSE and a low percentage of data within the confidence interval. Overall, GRU emerges as the best method, offering an optimal balance between predictive accuracy and consistency, making it a reliable tool for modeling exchange rate volatility in high-volatility scenarios. Consequently, GRU is utilized for forecasting exchange rate volatility for the next 30 days. These findings contribute to the selection of appropriate methods for modeling exchange rate volatility, particularly amidst global market uncertainty.
Co-Authors . Indahwati . Sutoro Aam Alamudi Abd. Rasyid Syamsuri Agus Mohamad Soleh Agus Santoso Aji Hamim Wigena Akbar Rizki Akbar Rizki Akbar Rizki Aki Hirai Anang Kurnia Anggraini Sukmawati Annisa Malik Apino, Ezi Aqmar, Nurzatil Bagus Sartono Budi Susetyo Budi Susetyo Budi Waryanto Budi Waryanto Budi Waryanto Cici Suhaeni Dairul Fuhron Dalimunthe, Amir Abduljabbar Dian Ayuningtyas Eka Setiawaty Erwandi Erwandi fatimah Fatimah Febie Tri Lestari Fitrianto, Anwar H S, Rahmat Handayani, Vitri Aprilla Handayani, Vitri Aprilla Hari Wijayanto Hari Wijayanto Hasibuan, Rafika Aufa Hasnita Hasnita Herdina Kuswari Heri Retnawati Hiroki Takahashi I Made Sumertajaya Ikhlasul Amalia Rahmi Indahwati Indahwati Indahwati Isnan Mulia Itasia Dina Sulvianti Izzati, Fatkhul Kensuke Nakamura Khairil Anwar Notodiputro Koesnandy H, Abialam Kusman Sadik Latifah Kosim Darusman M. Rafi Maya Deanti Maysarah Sabariah Kudadiri Md. Altaf-Ul-Amin . Melati Mochamad Ridwan Mochamad Ridwan, Mochamad Mohammad Masjkur Muchlishah Rosyadah Muhammad Ali Umar Mukhamad Najib Nadhif Nursyahban Nur Hikmah Nur Janah Nur Jannah Nurul Qomariasih Octaviani, Siti Nurfajar Panjaitan, Intan Juliana Pardede, Timbul Pika Silvianti Pika Silvianti Pika Silvianti Puspita, Novi Qomariasih, Nurul Rifqi Aulya Rahman Rizal Bakri Rossi Azmatul Barro Rosyada, Munaya Nikma Rosyadah, Muchlishah Rudi Heryanto Safitri, Wa Ode Rahmalia Septaningsih, Dewi Anggraini Septanti Kusuma Dwi Arini Septiani, Adeline Vinda Shigehiko Kanaya Sulistiyani . Syahrir, Nur Hilal A. Syahrir, Nur Hilal A. Usman, Muhammad Syafiuddin Widhiyanti Nugraheni Widya Putri Nurmawati Winata, Hilma Mutiara Wisnu Ananta Kusuma Zana Aprillia