TY - GEN
T1 - Forecasting of monthly inflow and outflow currency using time series regression and ARIMAX
T2 - 2nd Innovation and Analytics Conference and Exhibition, IACE 2015
AU - Ahmad, Imam Safawi
AU - Setiawan,
AU - Suhartono,
AU - Masun, Nunun Hilyatul
N1 - Publisher Copyright:
© 2015 AIP Publishing LLC.
PY - 2015/12/11
Y1 - 2015/12/11
N2 - Currency plays an important role in economic transactions of Indonesian society. In order to guarantee the availability of currency, Bank Indonesia needs to develop demand and supply planning of currency. The purpose of this study is to get model and predict inflow and outflow of currency in KPW BI Region IV (East Java) with ARIMA method, time series regression and ARIMAX. The data of monthly inflow and outflow is used of currency in KPW BI Surabaya, Malang, Kediri and Jember.The observation period starting from January 2003 to December 2014. Based on the smallest values of out-sample RMSE and SMAPE, ARIMA is the best model to predict the outflow of currency in KPW BI Surabaya and ARIMAX for KPW BI Malang, Kediri and Jember. The best forecasting model for inflow of currency in KPW BI Surabaya, Malang, Kediri and Jember chronologically as follows are calendar variation model, transfer function, ARIMA, and time series regression. These results indicates that the more complex models may not necessarily produce a more accurate forecast as the result of M3-Competition.
AB - Currency plays an important role in economic transactions of Indonesian society. In order to guarantee the availability of currency, Bank Indonesia needs to develop demand and supply planning of currency. The purpose of this study is to get model and predict inflow and outflow of currency in KPW BI Region IV (East Java) with ARIMA method, time series regression and ARIMAX. The data of monthly inflow and outflow is used of currency in KPW BI Surabaya, Malang, Kediri and Jember.The observation period starting from January 2003 to December 2014. Based on the smallest values of out-sample RMSE and SMAPE, ARIMA is the best model to predict the outflow of currency in KPW BI Surabaya and ARIMAX for KPW BI Malang, Kediri and Jember. The best forecasting model for inflow of currency in KPW BI Surabaya, Malang, Kediri and Jember chronologically as follows are calendar variation model, transfer function, ARIMA, and time series regression. These results indicates that the more complex models may not necessarily produce a more accurate forecast as the result of M3-Competition.
UR - http://www.scopus.com/inward/record.url?scp=84984588823&partnerID=8YFLogxK
U2 - 10.1063/1.4937084
DO - 10.1063/1.4937084
M3 - Conference contribution
AN - SCOPUS:84984588823
T3 - AIP Conference Proceedings
BT - Innovation and Analytics Conference and Exhibition, IACE 2015
A2 - Ahmad, Nazihah
A2 - Zulkepli, Jafri
A2 - Ibrahim, Adyda
A2 - Aziz, Nazrina
A2 - Abdul-Rahman, Syariza
PB - American Institute of Physics Inc.
Y2 - 29 September 2015 through 1 October 2015
ER -