Pemodelan ARIMA-GARCH dalam Peramalan Kurs Rupiah Terhadap Yen dengan Masalah Keheterogenan Ragam

Abstract

The currency exchange rate is the price of a country's currency expressed into another country's currency. At the beginning of 2020, the COVID-19 pandemic affected the weakening and changes in the Rupiah exchange rate against hard currencies, one of which was the Japanese Yen. This affects the expectations of LCS cooperation between Indonesia and Japan in terms of increasing the value of trade to investment between the two countries. Therefore, forecasting the upcoming currency exchange rate is indispensable to determine the upcoming macroeconomic policy. ARIMA is a commonly used quantitative method to forecast future data using past data patterns. The weakness of this method arises when the data violates the assumption of homogeneity of variety that often occurs in financial data, one of which is currency exchange rate data. The ARCH/GARCH model is an effective model for data with uncertain diversity characteristics. However, there is potential to combine ARIMA and ARCH/GARCH into an ARIMA-ARCH/GARCH hybrid model to obtain forecasting results with greater accuracy. In this study, the minimum return data on the Indonesian Rupiah (IDR) exchange rate against the Japanese Yen (JPY) shows the results that the ARIMA(0,0,1) model provides RMSE accuracy of 0.008. While the best forecasting model that can be used to forecast the maximum return data of the IDR exchange rate against JPY is ARIMA(1,0,0)-GARCH(1,1) with a small RMSE accuracy of 0.014. The forecasting results for the minimum return data for buying and selling are expected to strengthen the exchange rate. Meanwhile, the forecasting results for the maximum return data for buying and selling are expected to experience exchange rate weakening.