Open AccessMODEL KOMBINASI ARIMA DALAM PERAMALAN HARGA MINYAK MENTAH DUNIA
Author(s) -
Eka Setiyowati,
Agus Rusgiyono,
Tarno Tarno
Publication year - 2018
Publication title -
jurnal gaussian : jurnal statistika undip
Language(s) - English
Resource type - Journals
ISSN - 2339-2541
DOI - 10.14710/j.gauss.v7i1.26635
Subject(s) - autoregressive integrated moving average , crude oil , west texas intermediate , commodity , econometrics , oil price , statistics , mathematics , economics , petroleum engineering , time series , engineering , market economy , monetary economics
Oil is the most important commodity in everyday life, because oil is one of the main sources of energy that is needed for other people. Changes in crude oil prices greatly affect the economic conditions of a country. Therefore, the aim of this study is develop an appropriate model for forecasting crude oil price based on the ARIMA and its ensembles. In this study, ensemble method uses some ARIMA models to create ensemble members which are then combined with averaging and stacking techniques. The data used are the price of world crude oil period 2003-2017. The results showed that ARIMA (1,1,0) model produces the smallest RMSE values for forecasting the next thirty six months. Keywords: Ensemble, ARIMA, Averaging, Stacking, Crude Oil Price