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All Journal Jurnal Gaussian Indonesian Journal of Mathematics and Natural Sciences Teknosains: Media Informasi Sains dan Teknologi GRADIEN SEMIRATA 2015 BAREKENG: Jurnal Ilmu Matematika dan Terapan Martabe : Jurnal Pengabdian Kepada Masyarakat Jurnal Pengabdian Masyarakat Bumi Raflesia Jurnal Berdaya Mandiri Dharma Raflesia : Jurnal Ilmiah Pengembangan dan Penerapan IPTEKS Journal Of Human And Education (JAHE) Jurnal Matematika Integratif Limits: Journal of Mathematics and Its Applications
Idhia Sriliana
Universitas Bengkulu
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Journal : Jurnal Gaussian

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PENERAPAN MODEL ASYMMETRIC POWER AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (APARCH) TERHADAP HARGA MINYAK MENTAH DUNIA Famuji, Ahmad; Sriliana, Idhia; Agwil, Winalia
Jurnal Gaussian Vol 13, No 1 (2024): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.13.1.99-109

Abstract

Heteroscedasticity poses a challenge in ARIMA modeling by causing residual variance to be non-constant, leading to less efficient estimates. This issue often arises in time series data due to volatility, which measures data fluctuation over time. To address heteroscedasticity, models like ARCH and GARCH incorporate variance changes into forecasting. However, they lack the ability to capture asymmetry, the difference in impact between good and bad news on volatility. The APARCH model, on the other hand, addresses this by modeling volatility with asymmetry elements. Daily world crude oil prices, known for high volatility, serve as a case study for this research. By employing the APARCH model, the study aims to forecast these prices accurately. Results indicate that the APARCH(1,1) model outperforms the best GARCH model, ARCH(2), as it yields a smaller Mean Absolute Percentage Error (MAPE) of 6.033487. This highlights the superior accuracy of APARCH in forecasting data with heteroscedasticity issues, particularly in the context of daily crude oil prices.
Co-Authors Abdul Aziz, Ali Agwil, Winalia Ahmad Famuji Andini, Agita Baki Swita Cinta Rizki Oktarina Dian Agustina Dian Agustina Dian Agustina Dwi Lorenza, Kenny Dyah Pangesti, Riwi Dyah Setyo Rini Dyah Setyo Rini Ermawati Ermawati Etis Sunandi Fadila, Risfa Famuji, Ahmad Fhaeza, Veronnica Noer Filo Supianti Hayadi, Ilham Jose Rizal Oktarina, Cinta Rizki Pepi Novianti Rafflesia, U Reza Pahlepi, Reza Rini, Dyah Setyo Riry Sriningsih Setyo Rini, Dyah Sigit Nugroho Sihombing, Esther Damayanti Sunandi, Etis Sunandi, Etis Susi Wijuniamurti Swita, Baki Ulfasari Rafflesia Ulfasari Rafflesia Winalia Agwil