Page 50 - 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
reducing the error rate in calculations. The basic concept of GARCH
is that variance is not only influenced by past residuals but also by the
lag of the conditional variance itself [6].
Thus, the conditional variance in the GARCH model consists of two
components, namely the past component of the squared residual
(denoted by degree p) and the past component of the conditional
variance (denoted by degree q), in Equation (6).
2 2
ó = ù + ∑ =1 á 2 −1 + ∑ =1 â ó −1 (6)

2.3.1 Stages of GARCH Analysis
The steps used to implement the GARCH (Generalized
Autoregressive Conditional Heteroskedasticity) model on Indonesian
export value data for the period January 2014-February 2022, are as
follows:

1. Perform stationarity test and normality test
2. Identify the ARIMA model based on the ACF and PACF charts
3. Determine the ARIMA model estimate
4. Test the significance of the parameters on the estimation results
of the ARIMA model
5. Test assumptions (normality, heteroscedasticity, and
autocorrelation)
6. Identify the GARCH model with the ARIMA model
7. Define the GARCH model
8. Test the significance of the parameters on the estimation results
of the GARCH model
9. Perform the LM-ARCH test
10. Doing the forecasting stage
2.4 Akaike dan Schwarz Information Criterion (AIC and SIC)
Akaike and Schwarz criteria (AIC and SIC) in model selection can also
be done using Akaike Information Criterion (AIC) and Schwarz
Information Criterion (SIC) in Equation 7, and 8 [5], where = 2.718,
= residual, = number of estimation parameter variables, =
sum of squared residual, and = number of observations (sample).
The model chosen is the model that has the smallest AIC and SIC.

ISST 2022 – FST Universitas Terbuka, Indonesia 29
International Seminar of Science and Technology “Accelerating Sustainable
Towards Society 5.0