JUITA : Jurnal Informatika
JUITA Vol. 11 No. 2, November 2023

Facebook Prophet Model with Bayesian Optimization for USD Index Prediction

Ahmad Fitra Hamdani (Department of Informatics Engineering, Nusantara PGRI University of Kediri, Indonesia)
Daniel Swanjaya (Department of Informatics Engineering, Nusantara PGRI University of Kediri, Indonesia)
Risa Helilintar (Department of Informatics Engineering, Nusantara PGRI University of Kediri, Indonesia)



Article Info

Publish Date
17 Nov 2023

Abstract

Accuracy is the primary focus in prediction research. Optimization is conducted to improve the performance of prediction models, thereby enhancing prediction accuracy. This study aims to optimize the Facebook Prophet model by performing hyperparameter tuning using Bayesian Optimization to improve the accuracy of USD Index Value prediction. Evaluation is conducted through multiple prediction experiments using different ranges of historical data. The results of the study demonstrate that performing hyperparameter tuning on the Facebook Prophet model yields better prediction results. Prior to parameter tuning, the MAPE indicator metric is 1.38% for the historical data range of 2014-2023, and it decreases to 1.33% after parameter tuning. Further evaluation shows improved prediction performance using different ranges of historical data. For the historical data range of 2015-2023, the MAPE value decreases from 1.39% to 1.20%. Similarly, for the data range of 2016-2023, the MAPE decreases from 1.12% to 0.80%. Furthermore, for the data range of 2017-2023, there is a decrease from 0.80% to 0.76%. This is followed by the data range of 2018-2023, with a decrease from 0.75% to 0.70%. Lastly, for the data range of 2019-2023, there is a decrease from 0.63% to 0.55%. These results demonstrate that performing Hyperparameter Optimization using Bayesian Optimization consistently improves prediction accuracy in the Facebook Prophet model.

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Journal Info

Abbrev

JUITA

Publisher

Subject

Computer Science & IT

Description

UITA: Jurnal Informatika is a science journal and informatics field application that presents articles on thoughts and research of the latest developments. JUITA is a journal peer reviewed and open access. JUITA is published by the Informatics Engineering Study Program, Universitas Muhammadiyah ...