Forecasting of Cash Flow in Bank Indonesia Using Hybrid Seasonal ARIMAX-GARCH with The Calendar Variation Effects

Shadira, Safitri Paras (2023) Forecasting of Cash Flow in Bank Indonesia Using Hybrid Seasonal ARIMAX-GARCH with The Calendar Variation Effects. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Bank Indonesia has a central, authority to print money, circulate the Indonesian Rupiah, and regulate and ensure a smooth payment system for the public. One of the factors influencing the estimation of the Rupiah currency needs in society is the outflow. Outflow refers to the money disbursed by Bank Indonesia to commercial banks in Indonesia and refers the money circulating within the community. The fluctuation of outflow is influenced, among other factors, by the Islamic holiday of Eid al-Fitr. This study considers forecasting outflow using seasonal ARIMAX combined with intervention analysis and GARCH. Seasonal ARIMAX captures the effects of calendar variations, while GARCH addresses the non-constant volatility in the financial sector, which violates the assumption of constant residual or homoscedasticity. Based on the outflow data from January 2012 to December 2022, the best hybrid Seasonal ARIMAX-GARCH model without using GARCH is the ARIMAX (0,0,0) (1,1,0) [12] model. Furthermore, the best model when using GARCH is the ARIMAX-GARCH + Intervention model, compared to the ARIMAX-GARCH model.
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Bank Indonesia mempunyai kewenangan pusat untuk mencetak uang, mengedarkan Rupiah, serta mengatur dan menjamin kelancaran sistem pembayaran bagi masyarakat. Salah satu faktor yang mempengaruhi perkiraan kebutuhan uang Rupiah di masyarakat adalah outflow. Arus keluar mengacu pada uang yang disalurkan oleh Bank Indonesia kepada bank umum di Indonesia dan mengacu pada uang tersebut beredar di tengah masyarakat. Fluktuasi outflow dipengaruhi antara lain oleh faktor-faktor menjelang hari raya Islam Idul Fitri. Studi ini mempertimbangkan peramalan arus keluar menggunakan musiman ARIMAX dikombinasikan dengan analisis intervensi dan GARCH. ARIMAX musiman menangkap dampak variasi kalender, sementara GARCH mengatasi volatilitas yang tidak konstan di pasar sektor keuangan, yang melanggar asumsi residu konstan atau homoskedastisitas. berdasarkan pada data arus keluar Januari 2012 hingga Desember 2022, hybrid Seasonal ARIMAX- terbaik Model GARCH tanpa menggunakan GARCH adalah model ARIMAX (0,0,0) (1,1,0) 12. Lebih-lebih lagi, model terbaik bila menggunakan GARCH adalah model Intervensi ARIMAX-GARCH +, dibandingkan dengan model ARIMAX-GARCH.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	ARIMAX, Calendar Variation, GARCH, Intervention, Outflow.
Subjects:	H Social Sciences > HB Economic Theory > Economic forecasting--Mathematical models.
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Statistics > 49201-(S1) Undergraduate Thesis
Depositing User:	Safitri Paras Shadira
Date Deposited:	31 Aug 2023 07:29
Last Modified:	31 Aug 2023 07:29
URI:	http://repository.its.ac.id/id/eprint/104617

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