Page 46 - Proceeding The 2nd International Seminar of Science and Technology : Accelerating Sustainable Innovation Towards Society 5.0

nd
The 2 International Seminar of Science and Technology
“Accelerating Sustainable innovation towards Society 5.0”
ISST 2022 FST UT 2022
Universitas Terbuka
FORECASTING THE CONSUMER PRICE INDEX
USING THE GARCH METHOD

Anida Ulfiana, Wiwit Pura Nurmayanti*, Seni Eriani,
Harista Almiatus Soleha, Basirun, Siti Hariati Hastuti

Department of Statistics, Faculty of Mathematics and Natural
Sciences, Universitas Hamzanwadi (INDONESIA)

*Corresponding author: wiwit.adiwinata3@gmail.com

Abstract
Consumer Price Index (CPI) is an index number that shows the level
of prices of goods and services purchased by consumers in a certain
period. Forecasting related to CPI data needs to be done to describe
the price level of goods and services purchased by the public. There
are several methods in statistics that can be used for forecasting, one
of which is the Generalized Autoregressive Conditional
Heteroscedasticity (GARCH) method. GARCH has advantages
compared to other forecasting methods, namely that it can apply to
data that has high volatility. Volatility occurs if the data variance is not
constant and will certainly cause the data to be non-stationary so that
it does not meet the assumptions in the time series analysis. The
purpose of this study was to determine the best model of the GARCH
method and to find out the prediction results of the CPI for the future
period. Based on the results of the analysis, the best models used are
GARCH (1,0). And the CPI value in January 2022 was 112,1116.
Keywords: Forecasting, Consumer Price Index (CPI), Generalized
Autoregressive Conditional Heteroscedasticity, GARCH, Volatility.

1 INTRODUCTION
The Consumer Price Index (CPI) is one indicator that shows monetary
success in controlling inflation, besides that the CPI calculation is also
very important because it shows the price level of goods and services

ISST 2022 – FST Universitas Terbuka, Indonesia 25
International Seminar of Science and Technology “Accelerating Sustainable
Towards Society 5.0