Monthly ICP Projection Model Using Arima Method

Authors

  • Rudi Handoko Pusat Kebijakan Ekonomi Makro, Badan Kebijakan Fiskal, Kementerian Keuangan

DOI:

https://doi.org/10.31685/kek.v18i1.37

Keywords:

ARIMA model, Box-Jenkin, forecasting, Indonesian Crude Price (ICP)

Abstract

Indonesian crude oil price assumption, or commonly abbreviated as ICP plays an important role in the management of state finances. This paper aims to make an ICP projection model monthly. This paper uses econometric methods time series Box-Jenkin or ARIMA (Autoregressive Integrated Moving Average). After following the Box-Jenkin methodology, estimation results indicate that the best model to forecast the monthly ICP is ARIMA (1,2,1). Results projection ARIMA (1,2,1) with a static method is more accurate than the dynamic method with a deviation of only 0.8%. If using the static method outlook for ICP in 2014 will be in the range of US$106/bareI - US$108/barel. Policy recommendations related to the price of oil is to determine the Indonesian crude oil price assumption (ICP) suggested using ARIMA (1,2,1). The oil price models have important implications in the management of state finances, namely the ARIMA model can help establish the assumption of ICP and help respond in the event of oil price fluctuations.

References

Ahmed, Rana Abdullah dan Shabri, Ani Bin (2014), "Daily Crude Oil Price Forecasting Model Using ARIMA, Generalized Autoregressive Conditional Heteroscedastic and Support Vector Machines/' American Journal of Applied Sciences, 11(3), 425-432.

Akomolafe, K. J. dan Danladi, Jonathan D. (2013), Modeling and Forecasting Crude Oil Price: Implications for the Nigeria's 2013 Budget Proposal, International Journal of Science and Research, 2(5), 445- 448.

Arshad, Fatimah Mohd. dan Ghaffar, Roslan A. (1986), Crude Palm Oil Price Forecasting: Box-Jenkins Approach, Pertanika, 9(3), 359-367.

Asteriou, Dimitrios dan Hall, Stephen G. (2007), "Applied Econometrics: A Modern Approach," Revised Edition, New York: Palgrave Macmillan.

Bal, H. Sibel Guise, dan Yayar, Rustu (2006), Forecasting of Sunflower Oil Price in Turkey, Journal of Applied Sciences Research, 2(9), 572-578.

Behmiri, Niaz Bashiri dan Manso, Jose R. Pires (2013), "Crude Oil Price Forecasting Techniques: a Comprehensive Review of Literature," Alternative In vestment Analyst Review, 3(3), 30-48.

Bosler, Fabian Torben (2010), Models for Oil Price Prediction and Forecasting, Tesis Magister, Departemen Matematika dan Statistik, San Diego State University.

Brooks, Chris (2007), “Introductory Econometrics for Finance" Cambridge: Cambridge University Press.

Diebold, Francis X. (2007), "Elements of Forecasting," Fourth Edition, Ohio: Thomson South-Western.

Etuk, Ette Harrison (2013), Seasonal ARIMA Modelling of Nigerian Monthly Crude Oil Prices, Asian Economic and Financial Review, 3(3), 333-340.

Harris, Richard dan Sollis, Robert (2003), "Applied Time Series Modelling and Forecasting," England: John Wiley & Sons.

Khan, Mohsin S. (2009), The 2008 Oil Price "Bubble", Policy Brief, Peterson Institute for International Economics.

Lee, Chee Nian (2009), Application of ARIMA and GARCH Models in Forecasting Crude Oil Prices, Tesis Magister, Fakultas Sains, Universiti Teknologi Malaysia.

Shabri, Ani (2013), "Crude Oil Forecasting with an Improved Model Based on Wavelet Transform and Linear Regression Model," 3rd International Conference on Applied Mathematics and Pharmaceutical Sciences, 355-358.

Vogelvang, Ben (2005), "Econometrics: Theory and Application with EViews," Harlow, England: Pearson Addison Wesley.

Kajian Ekonomi dan Keuangan, Volume 18, No. 1, Maret 2014, Hal: 51 - 68

Widarjono, Agus (2005), "Ekonometrika: Teori dan Aplikasi untuk Ekonomi dan Bisnis," Yogyakarta: Ekonisia.

Downloads

Published

2015-11-09

Issue

Vol. 18 No. 1 (2014)

Section

Articles

License

STATEMENT OF AUTHENTICITY AND COPYRIGHT RELEASE

I hereby certify that:

  1. The article (Article title) is authentic and never being published previously or will be published in other publication as well as not a plagiarism in any form.
  1. The article does not have any issue with other parties, regarding of the publication copyright.
  1. All the authors have read this statement and agree with the name and sequence.
  1. Hereby, I transfer the copyright of my article (Article title) to the KEK Editorial Board . this copyright transfer includes a right to reproduce a photograph for the similar article and its translation. This is also including a right to upload the article into a computer system which disseminated widely on the internet.
  1. Hereby, I agree with my article (Article title) to be published by KEK Volume (xx) Edition (x), under Creative Common Attribution- NonCommercial-ShareAlike 4.0 licensing. This is also including a right to upload the article into a computer system which disseminated widely on the internet.

Name : (Full Name)
Date : (Signing date)