Page 47 - 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
purchased by the public [1]. According to the Central Statistics Agency
(BPS), the CPI is an index that calculates the average price change of
a set of goods and services consumed by the population within a
certain period. During the last three years, BPS recorded that the CPI
value in each month tends to increase and was recorded in December
2019 of 139.07. Changes in the CPI value from time to time can
describe the level of price increase (inflation) and the level of price
decline (deflation) [2]. The higher the CPI value, the faster the inflation
rate [3]. Therefore, information is needed that can describe the state
of the CPI. One thing that can be done is forecasting or estimating the
CPI figure for several periods in the future.
Forecasting is an accurate calculation in determining the future by
using past data [1][4]. One of the forecasting methods that can be
used is GARCH method. The GARCH model has been widely used to
describe the volatility behaviour of a financial time series, especially
on stock and currency exchange data [5].
There were several previous studies that used the GARCH method,
including those conducted by Nella Angraeny [6], which conducted
research on the value of exports in Indonesia from January 2009 to
April 2019 and the results obtained were ARIMA (1,1,2) and
GARCH(1,3) models. A similar study was also conducted by Aisyah
Muhayani [7], namely by comparing APARCH, E-GARCH and T-
GARCH in forecasting world gold prices, and the results of the study
that the most optimal method is E-GARCH with a MAPE value of 4.66.
another study was conducted by Anbiya, W., and Garin, F.C. [8]. This
study discusses the Application of GARCH Forecasting Method in
Predicting the Number of Rail Passengers (Thousands of People) in
Jabodetabek Region. In this study, the best model was ARIMA (1,1,1)
with an AIC value of 2,159.87 and the best model GARCH (1,1) with
an AIC value of 18,314. Referring to these problems and several
existing literature studies, the purpose of this study is to predict the
value of the Consumer Price Index in the future using the GARCH
method.

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