Indonesia Gold Price Forecasting Using ARIMA Model (0,1,1) - GARCH (1,0)

Hafivah Rosvita Sari; Sri Wahyuningsih; Meiliyani Siringoringo

doi:10.30872/eksponensial.v15i1.1265

Hafivah Rosvita Sari Universitas Mulawarman
Sri Wahyuningsih Universitas Mulawarman
Meiliyani Siringoringo Universitas Mulawarman

DOI: https://doi.org/10.30872/eksponensial.v15i1.1265

Abstract

A frequently employed time series model is the Autoregressive Integrated Moving Average (ARIMA) model. In highly volatile data, ARIMA models sometimes produce residual variances that are heteroscedasticity. One method that can overcome the problem of residual variance heteroscedasticity is the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) method. The purpose of this study is to obtain the ARIMA-GARCH model for daily gold price data in Indonesia for the period 1 January 2022 to 31 December 2022, and to obtain daily gold price forecasting results in Indonesia. The daily gold price forecasting model obtained for Indonesia is ARIMA (0,1,1) - GARCH (1,0) with a MAPE value of 0.5745% which shows that the model is very good because the MAPE value is less than 10%. The results of Indonesia's daily gold price forecast from January 1^st, 2023 to January 3^rd, 2023 remain stable.

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