Model ARIMA dengan Variabel Eksogen dan GARCH pada Data Kurs Rupiah

Abstract

Autoregressive integrated moving average with exegenous variable (ARIMAX) model is the development of ARIMA model with addition of other time series data as exogenous variable that affect the dependent variable. ARIMAX model is used to analyze and predict data on the rupiah exchange rate against the US dollar with inflation as an exogenous variabel. The exchange rate has an residual variance that is not constant  so that the GARCH model is used to overcome the problem of heteroscedasticity. The results of this research show that forecasting the rupiah exchange rate against the US dollar fot the period January 2010 – December 2019 with the ARIMAX(0,1,1) – GARCH(1,0) model is the best model with a MAPE (1,1655) value which shows a low percentage compared to the ARIMAX model.