COMPARISON OF ARIMA, TRANSFER FUNCTION AND VAR MODELS FOR FORECASTING CPI, STOCK PRICES, AND INDONESIAN EXCHANGE RATE: ACCURACY VS. EXPLAINABILITY

COMPARISON OF ARIMA, TRANSFER FUNCTION AND VAR MODELS FOR FORECASTING CPI, STOCK PRICES, AND INDONESIAN EXCHANGE RATE: ACCURACY VS. EXPLAINABILITY

The Consumer Price Index (CPI), stock prices and the rupiah exchange rate to the US dollar are important macroeconomic variables which their movements show the economic performance and can affect the monetary and fiscal policies of Indonesia. This makes forecasting effort of these variables become i...

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Bibliographic Details
Main Authors: Taly Purwa, Ulin Nafngiyana, Suhartono Suhartono
Format: Article
Language:English
Published: Universitas Diponegoro 2020-06-01
Series:Media Statistika
Subjects:
cpi
stock price
exchange rate
arima
transfer function
var
Online Access:https://ejournal.undip.ac.id/index.php/media_statistika/article/view/20027

Internet

https://ejournal.undip.ac.id/index.php/media_statistika/article/view/20027

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