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All Journal Media Statistika
Suhartono Suhartono
Department of Statistics, Faculty of Science and Data Analytics, Institut Teknologi Sepuluh Nopember (ITS)
Decision Sciences, Operations Research & Management

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COMPARISON OF ARIMA, TRANSFER FUNCTION AND VAR MODELS FOR FORECASTING CPI, STOCK PRICES, AND INDONESIAN EXCHANGE RATE: ACCURACY VS. EXPLAINABILITY Taly Purwa; Ulin Nafngiyana; Suhartono Suhartono
MEDIA STATISTIKA Vol 13, No 1 (2020): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (735.856 KB) | DOI: 10.14710/medstat.13.1.1-12

Abstract

The Consumer Price Index (CPI), stock prices and the rupiah exchange rate to the US dollar are important macroeconomic variables which their movements show the economic performance and can affect the monetary and fiscal policies of Indonesia. This makes forecasting effort of these variables become important for policy planning. While many previous studies only focus on examining the effect among macroeconomic variables, this study uses ARIMA (univariate method), transfer function and VAR (multivariate methods) to measure the forecasting accuracy and also observing the effect between these macroeconomic variables. The results showed that the multivariate methods gave better explanation about the relationship between variables than the simple one. Otherwise, the results of accuracy comparison showed that the multivariate methods did not always yield better forecast than the simple one, and these conditions in line with the results and conclusions of M3 and M4 competition.
Co-Authors Taly Purwa Ulin Nafngiyana