CD Skripsi

Model arch garch berdasarkan optimasi Kalman filter untuk peramalan inflasi kota Pekanbaru

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Inflation is one of the important indicators in assessing the economic stability of a region. Fluctuating inflation movements require a forecasting method that can model the nature of its volatility. This study aims to forecast inflation in Pekanbaru City using the ARCH GARCH model which is optimized with the Kalman Filter method. The research analysis begins with building the best ARIMA model. Then it was followed by the application of the ARCH GARCH model to handle residual variance heteroscedasticity. Kalman Filter is applied to improve forecasting accuracy on ARCH GARCH models. The data used in this study is in the form of monthly inflation data for the City of Pekanbaru from January 1989 to December 2024. The results showed that the application of Kalman Filter optimization was able to reduce the error value in the GARCH(1.0) model, which was shown by a significant decrease in the RMSE value from the previous 0.83 to 0.54. The inflation forecast for January 2025 is 0.039% and shows a gradual downward trend to reach 0.027% in mid-2025, reflecting the improvement in economic conditions and relatively good price control in the city of Pekanbaru.
Keywords: ARCH GARCH, ARIMA, Forecasting, Inflation, Kalman Filter.

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Ketersediaan

Informasi Detail

Judul Seri

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No. Panggil

2103110771

Penerbit

Pekanbaru : Universitas Riau FMIPA Statistika., 2025

Deskripsi Fisik

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Bahasa

Indonesia

ISBN/ISSN

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Klasifikasi

2103110771

Tipe Isi

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Tipe Media

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Tipe Pembawa

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Edisi

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Subjek

STATISTIKA

Info Detail Spesifik

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Pernyataan Tanggungjawab

Mutia

Versi lain/terkait

Lampiran Berkas

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