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All Journal Media Statistika Journal of Social Research VISA: Journal of Vision and Ideas
Fitrianti, Dwi
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Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Environmental Science Languange, Linguistic, Communication & Media Public Health Social Sciences

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Journal : Media Statistika

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COMPARATIVE EVALUATION OF ARIMA AND GRU MODELS IN PREDICTING RUPIAH DOLLAR EXCHANGE RATE Fitrianti, Dwi; Ulfia, Ratu Risha; Notodiputro, Khairil Anwar; Angraini, Yenni; Mualifah, Laily Nissa Atul
MEDIA STATISTIKA Vol 18, No 1 (2025): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/medstat.18.1.1-12

Abstract

This study evaluates the effectiveness of the ARIMA (Autoregressive Integrated Moving Average) and GRU (Gated Recurrent Unit) models in forecasting the USD–Rupiah exchange rate. Exchange rate fluctuations influence overall economic stability, making accurate forecasting crucial. Monthly data from January 2001 to March 2024 were analyzed. The ARIMA model, a traditional statistical approach, combines autoregressive (AR), differencing (I), and moving average (MA) components to capture linear patterns, while the GRU model, a deep learning approach, captures nonlinear and complex temporal relationships using update and reset gate mechanisms to retain long-term information. Model performance was evaluated using the Mean Absolute Percentage Error (MAPE). The GRU model achieved a MAPE of 1.74%, lower than the ARIMA model’s 1.94%, and generated a forecast of Rp. 16,399.91 for April 2024, closer to the actual value of Rp. 16,249.00 compared to ARIMA’s Rp. 15,857.68. The findings demonstrate the GRU model’s superior forecasting performance and provide empirical evidence of its effectiveness in modeling volatile exchange rate data, particularly the Rupiah–USD rate.
Co-Authors Abdul Halik Amelia, Azarine Nahdah Endah Budiarti Mualifah, Laily Nissa Atul Octavia, Winda Dwi Pandin, Maria Yovita R. Slamet Riyadi Ulfia, Ratu Risha Wahyuni, Titin Yenni Angraini