Rupiah Exchange Rate Forecast Against the United States Dollar Using the Singular Spectrum Analysis Method

Authors

  • Mutiara Qalbu Statistics Department, Faculty of Mathematics and Natural Sciences, Sebelas Maret University
  • Etik Zukhronah Statistics Department, Faculty of Mathematics and Natural Sciences, Sebelas Maret University
  • Irwan Susanto Statistics Department, Faculty of Mathematics and Natural Sciences, Sebelas Maret University

DOI:

https://doi.org/10.20956/j.v22i3.50120

Keywords:

exchange rate, forecast, SSA

Abstract

Singular Spectrum Analysis (SSA) is a nonparametric time series forecasting method that decomposes a time series into signal and noise components without relying on predetermined model assumptions. This study aims to forecast the rupiah exchange rate against the United States Dollar (USD) using the Singular Spectrum Analysis (SSA) method based on data from the period August 2023 to August 2024. The in-sample data consists of 191 points from August 1, 2023, to May 21, 2024, while the out-of-sample data consists of 48 points from May 22, 2024, to August 1, 2024. The results showed that the SSA method achieved Mean Absolute Percentage Error (MAPE) values of 0.44% on in-sample data and 0.64% on out-of-sample data, indicating that the method is quite effective in predicting the rupiah exchange rate against the USD.

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Published

2026-05-14

How to Cite

Qalbu, M., Zukhronah, E., & Susanto, I. (2026). Rupiah Exchange Rate Forecast Against the United States Dollar Using the Singular Spectrum Analysis Method. Jurnal Matematika, Statistika Dan Komputasi, 22(3), 717–729. https://doi.org/10.20956/j.v22i3.50120

Issue

Vol. 22 No. 3 (2026): May 2026

Section

Research Articles

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