Estimasi Harga Minyak Mentah Dunia Menggunakan Analisis Intervensi-Kalman Filter

Ambarsari, Alvia Ayu (2021) Estimasi Harga Minyak Mentah Dunia Menggunakan Analisis Intervensi-Kalman Filter. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

Text Draft_BukuTA_Alvia Ayu Ambarsari.pdf - Accepted Version Restricted to Repository staff only until 1 October 2023. Download (1MB) | Request a copy

Abstract

Peramalan terhadap harga komoditas minyak mentah dunia merupakan salah satu studi yang dilakukan untuk mengantisipasi harga minyak mentah dunia pada periode mendatang guna mempertimbangkan pengambilan kebijakan demi menjaga kestabilan ekonomi. Pandemi COVID-19 yang sedang melanda memberikan dampak terhadap jumlah permintaan dan harga minyak mentah dunia. Pada penelitian ini, digunakan Metode Analisis Intervensi untuk merumuskan model peramalan harga minyak mentah. Pada Analisis Intervensi, didapatkan model yang sesuai yaitu ARIMA (0,1,1) dengan orde (b = 0, s = 2, r = 0) dengan nilai Mean Absolute Percentage Error (MAPE) sebesar 7,6069 %. Setelah didapatkan model intervensi terbaik dilakukan estimasi harga minyak mentah menggunakan metode Kalman Filter. Sehingga diperoleh nilai MAPE dari hasil prediksi menggunkan Analisis Intervensi-Kalman Filter sebesar 0,47541%. Dimana dari keduanya memiliki tingkat akurasi yang tinggi.
=======================================================================================================
Forecasting world crude oil commodity prices is one of the
studies conducted to anticipate world crude oil prices in the period
to consider policy making in order to maintain economic stability.
The current COVID-19 pandemic has had an impact on the amount
of demand and world crude oil prices. In this research, the
Intervention Analysis Method was used to formulate a crude oil
price forecasting model. Intervention Analysis gave the appropriate
model of ARIMA (0,1,1) with orde (b = 0, s = 2, r = 0) with a
large Mean Absolute Percentage Error (MAPE) value of 7,6069
%. After obtaining the best intervention model, crude oil price
estimation was performed using the Kalman Filter method. So
that the MAPE value obtained from the prediction results using
Intervention Analysis-Kalman Filter is 0.47541 %. Where both of
them have a high level of accuracy

Item Type:	Thesis (Undergraduate)
Uncontrolled Keywords:	Harga Minyak Mentah Dunia, COVID-19, Analisis Intervensi, Kalman Filter
Subjects:	Q Science > QA Mathematics > QA402.3 Kalman filtering.
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User:	Alvia Ayu Ambarsari
Date Deposited:	29 Aug 2021 12:03
Last Modified:	29 Aug 2021 12:03
URI:	http://repository.its.ac.id/id/eprint/90406

Actions (login required)

View Item