MODELING AND FORECASTING BY THE VECTOR AUTOREGRESSIVE MOVING AVERAGE MODEL FOR EXPORT OF COAL AND OIL DATA (CASE STUDY FROM INDONESIA OVER THE YEARS 2002-2017)

Warsono Warsono,Widiarti Widiarti,Edwin Russel,Wamiliana Wamiliana,Mustofa Usman

doi:10.32479/ijeep.7605

Warsono Warsono, Widiarti Widiarti + Show 3 more

Open Access

https://doi.org/10.32479/ijeep.7605

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Abstract

The vector autoregressive moving average (VARMA) model is one of the statistical analyses frequently used in several studies of multivariate time series data in economy, finance, and business. It is used in numerous studies because of its simplicity. Moreover, the VARMA model can explain the dynamic behavior of the relationship among endogenous and exogenous variables or among endogenous variables. It can also explain the impact of a variable or a set of variables by means of the impulse response function and Granger causality. Furthermore, it can be used to predict and forecast time series data. In this study, we will discuss and develop the best model that describes the relationship between two vectors of time series data export of Coal and data export of Oil in Indonesia over the period 2002-2017. Some models will be applied to the data: VARMA (1,1), VARMA (2,1), VARMA (3,1), and VARMA (4,1). On the basis of the comparison of these models using information criteria AICC, HQC, AIC, and SBC, it was found that the best model is VARMA (2,1) with restriction on some parameters: AR2_1_2 = 0, AR2_2_1 = 0, and MA1_2_1 = 0. The dynamic behavior of the data is studied through Granger causality analysis. The forecasting of the series data is also presented for the next 12 months.

Highlights

Financial, business, and economic data are very often collected in spaced time intervals such as days, weeks, months, or years
Multivariate time series are of great interest in a variety of fields such as financial, economic, stock market, and earth science, e.g., meteorology (Reinsel, 1993)
On the basis of this objective, the vector autoregressive (VAR) moving average (VARMA) model was developed to explain the relationship between the data export of Coal and Oil in Indonesia over the period 2002–2017

Summary

INTRODUCTION

Business, and economic data are very often collected in spaced time intervals such as days, weeks, months, or years. We discuss and develop the best model that describes the relationship between two vectors of data export of Coal and data export of Oil in Indonesia over the period 2002–2017. On the basis of this objective, the VAR moving average (VARMA) model was developed to explain the relationship between the data export of Coal and Oil in Indonesia over the period 2002–2017. Et al.: Modeling and Forecasting by the Vector Autoregressive Moving Average Model for Export of Coal and Oil Data (Case Study from Indonesia over the Years 2002-2017). Methods to find the best model, estimates of parameters, model checking, and forecasting of vector time series are discussed

STATISTICAL MODEL

DATA ANALYSIS

C AR1 AR2

Findings

CONCLUSION