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All Journal BAREKENG: Jurnal Ilmu Matematika dan Terapan
Atika Ratna Dewi
Data Science Study Program, Telkom University, Purwokerto Campus, Indonesia
Computer Science & IT Control & Systems Engineering Economics, Econometrics & Finance Energy Engineering Mathematics Mechanical Engineering Physics Transportation

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MULTIVARIATE TIME SERIES MODELING USING VECTOR AUTOREGRESSION FOR RICE PRICE PREDICTION IN INDONESIA Atika Ratna Dewi; Andreas Rony Wijaya; Mirza Ghanimi; Talitha Veda Azaria Ramadhani
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 20 No 3 (2026): BAREKENG: Journal of Mathematics and Its Application
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol20iss3pp2195-2212

Abstract

This study analyzes the dynamic relationship between rice prices and selected economic variables using a Vector Autoregression (VAR) model. The analysis utilizes daily data from January 2022 to December 2023, encompassing rice prices, chicken meat prices, chicken egg prices, the Rupiah-to-USD exchange rate, inflation, and crude oil prices. The estimated VAR model is stable, as all eigenvalues lie within the unit circle. Residual diagnostics based on the Portmanteau (Ljung–Box) test indicate no residual autocorrelation across all equations (LB statistics with df = 1, p-values > 0.05), confirming the adequacy of the model specification. The model demonstrates good predictive performance for the rice-price series, achieving a Mean Absolute Percentage Error (MAPE) of 0.42% over the out-of-sample testing period (the last 20% of observations). Empirical results suggest that rice prices are influenced by dynamic interactions within the system, particularly through their relationships with chicken meat prices and the Rupiah–USD exchange rate. These findings offer valuable policy insights for maintaining rice price stability, a crucial component of national food security.
Co-Authors Andreas Rony Wijaya Mirza Ghanimi Talitha Veda Azaria Ramadhani