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Journal : Integra: Journal of Integrated Mathematics and Computer Science

Integrating VAR and CNN Models for Accurate Forecasting of Money Supply in Indonesia Warsono; Sulandra, Ardelia Maharani; Kurniasari, Dian; Usman, Mustofa; Susetyo, Budi
Integra: Journal of Integrated Mathematics and Computer Science Vol. 2 No. 2 (2025): July
Publisher : Magister Program of Mathematics, Universitas Lampung

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26554/integrajimcs.20252230

Abstract

Economic forecasting serves as a fundamental element in supporting decision-making processes across multiple sectors. One of the main areas of interest in this field is the estimation of the money supply within an economy. The Vector Autoregressive (VAR) model is a commonly applied method for forecasting; however, it often encounters limitations when processing data with nonlinear patterns. Convolutional Neural Networks (CNNs) offer an alternative approach, particularly effective in identifying nonlinear structures that are not adequately captured by VAR models. A hybrid VAR-CNN model is therefore proposed, combining the respective strengths of both techniques to improve the accuracy of predictions. This research applies to the hybrid VAR-CNN model to forecast economic variables for the period from July 2022 to June 2023. The model consists of two main components: the first utilizes forecasted values generated by the VAR model, while the second processes the residuals from the VAR output using a CNN. With 80% of the data allocated for training and 20% for testing, the hybrid VAR-CNN model demonstrates improved performance over alternative forecasting methods. Evaluation based on Mean Absolute Percentage Error (MAPE), supremum (D) values, and p-values confirms the effectiveness of this hybrid approach.
Co-Authors Abdullah Mubarok Abdulloh Mubarok Acep Hidayat Adi Pamungkas, Priyo adwendi, satria june Agung Wahyudi Biantoro Ahmad Mulyadiprana Ahmad Ridwan Aini, Sylvi Noor Al Obaidi, Abdulkareem Sh. Mahdi Al-Wahid, Azhar Anang Kurnia Anisa, Rosiana Salsa Aprillia, Imas Diana Ar Radi, Mohammad Ardisal Ardisal Arga, Kevin Arif Irawan, Arif Arif Wicaksono Arifin, Hadi S Aripiani, Dena Tresna Aritonang, Febriola Nova Fitri ASEP SAEFUDDIN Asmaran, Adam Azita, Nabila Nurrachmatika Aziz, Muhammad Jiddan Azizah, Dian Fitria Badri, Lusi N Bahagia Bahagia Bahagia Bahagia Baihaqi Fanani Bela, Muhammad Rafi Wirdan Assyakir Tandu Budi Rahman Chaidir, Ainun Dahlan, Dadang - Damayanti, Fika Darmawan, Rian Deviro, Sonya Okta Dewi Jasmina, Dewi Dewi, Irma Arlini Dewi, Kiki Patricia Dewi, Nurul Huda Fitriani Dian Kurniasari Dien Noviany Rahmatika Dudi Gunawan, Dudi Dwikorawati, Syarifah Sofiah El-sabagh, Mennatallah Eliskar, Nelvi Roza Eliyas, Andri Endang Rochyadi, Endang Erdiawati S.R., Witri Erwin Hermawan Fachruddin Majeri Mangunjaya Fahriya, Andina Fajar, Ibrahim Farit Mochamad Afendi Fatima, Ratih Fatimah, Ratih Fety Fatimah Firdaus, Firman Fitrianto, Anwar Gatot, Masitowati Gena Diniarti Gibtha Fitri Laxmi Hakim, Anisah Oktafiani Hapsari, Elvina Hari Wijayanto Hasan, Herlina Hermawati, Neni Hernawati, Tati hery saputra Hidayati, Oni Hidayaturrahman, Haerul Holidah, Siti Dedah Homdijah, Oom Sitti I Made Sumertajaya Ida Royani Iding Tarsidi Imas Diana Aprilia Indahwati, NFN Indriany, Syilvia Indupurnahayu Intan, Seri Ismail, Gunawan Isnarabani, Isnarabani Jamalulael, Idrus Janah, Rahmatul Jawu, Patricia Kanicia Jia, Jap Ee Juli Riyanto Tri Wijaya Kaisar Gusti, Raynold Karwono, H Khairil Anwar Notodiputro Khoshsimov, Maksud Kriswan, Suliana Kusman Sadik Kusnendi, K. Kusumastuti, Shinta Dewi La Ode Abdul Rahman Lailatul Qomariah, Dhona M Nur Aidi, M Nur Machfud Machfud Maharaeni, Amalia Mahben Jalil Mangunjaya, Fachruddin Majeri Mashudi, Rudy Maulana, Edi Sujati Mawardi Amin Mei Rani Amalia Mindita Pratiya, Mutiara Ayu Muchlisah, Anugerah Mufarihah, . muhamad iqbal Muhammad Isradi Muhammad Nur Aidi Murdiyanto, Edy Mustofa Usman Nadiyah, Salma Nandi Warnandi Ningrum, Almyanti Nurfadilah, Khalilah Nurfajrin, Tria Ermina Nurhayati H.S. Arifin Nurhayati, Immas Nurlaili, Rizka Nursaniah, Sofi Septiani Julaeha Pannu, Abdullah Ponijo, Ponijo Pradana, Rahadian Sakti Prayogi, Dicky Afdi Primasari, Dewi Pujiastuti, Zakiyah Puspa Eosina Putri, Lamina Amalia Qurrotul Uyun, Hana Rachman, Nurul Aulia Rahma, Sukma Laksita Rahmanissa, Fashihah Rahmawat, NFN Rahmawati, nFN Ranti Novianti Ratnasari, Andika Putri Renea Shinta Aminda Rimun Wibowo Rimun Wibowo, Rimun Rina Maryanti Rivaldi Virgiawan RIZQITA, ALYA JILAN Sadiyyah, Enung Siti Safaruddin Hidayat Al Ikhsan Safitri, Ratu D Safitri, Wa Ode Rahmalia Sanusi, Ratna Nur Mustika Saputra, Siti Dedah Holidah Sarifudin, Usep Saripudin, Usep Sembiring, Febryna Setiono, Dedi Bangun Shafa, Qisthy Fathiya Sidik, Sahrul Sidik, Sahul Soemarna, Paula Amelia Hany Sofiah, Syarifah Solihat, Ai Nur Sri Widati Subekti, Mr. Sulandra, Ardelia Maharani Sulistyaningsih, Reny Sumarno . Sunardi Sunardi Suriyani, . Suryani, Ajeng Susilawati , Agnes Dwita Susilawati, Agnes Dwita Syafril, Muthia Syafwandi, Syafwandi Tambrin, Nita Nitya Intan Taqwa, Hafiz Teguh Prasetyo Tjahjo Tri Hartono Tri Hartono, Tjahjo Tri Permadi Triswandari, Retno Utami Dyah Syafitri Utami, Irwanti Cinta Dwi Vegit Risana Hughes Vernandes Laia, Ardianto Vidayanti, Desiana Waluyo Wan Muhamad, Wan Zuki Azman Wanahad, Udin Warsono Wibowo, Setyo Wahyu Widiatmaka Widjayanti, Indri Widya, Mamad Wiwi Siswaningsih Wiyanti, Sari Wulandari, Fransisca Diyan Inge Yuliasih, Umi Yuni Fitriani, Yuni Yuniarti Herwinarni Yunita, Eva Anggra Zulaikha, Aidha