What is it about?

The demographic bonus currently occurring in Indonesia is not commensurate with the job opportunities available. This causes many of them to look for sources of income from various places, one of which is investing or trading. Forex trading is also a potential source of income if done correctly. Analysis using the correct method can help to be successful in the world of forex trading. In the world of forex, the American Dollar (USD) and Chinese Yuan (CNY) are the currencies that are often chosen because they have the most potential to generate profits. This research aims to predict the exchange rate of the US Dollar (USD) and Chinese Yuan (CNY) against the Rupiah (IDR) using the Autoregressive Integrated Moving Average (ARIMA) method.

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Why is it important?

USD and CNY currency exchange rate data will be divided into train and test data to predict long term (10 days) and short term (5 days). Based on the analysis results, it was determined that the ARIMA model (2,0,2) was the best model for forecasting the USD exchange rate against IDR, while the ARIMA model (3,0,2) was the best model for forecasting the CNY exchange rate against IDR. These selections were based on the criteria of the lowest AIC value and parameter significance. Subsequently, utilizing the best models, forecasts were conducted for both short-term and long-term periods. The research findings indicate that the ARIMA model is appropriate for short-term forecasting. However, for long-term forecasting, the accuracy of the ARIMA model remains somewhat limited due to the constraints of available train data.

Perspectives

I hope this report sheds new light on how currency exchange rate forecasting, which may seem like a complex and technical field, can be intriguing and highly relevant to many. Exchange rate dynamics are not just crucial for economists, researchers, or professional traders but also impact everyday life and the stability of national economies. With the right predictive approach, such as the ARIMA model, we can gain deeper insights and better prepare strategies to navigate financial market uncertainties. More than anything, I hope this report stimulates critical thinking and encourages further exploration into the practical and powerful use of statistical techniques.

Ahmad Fuad Zainuddin
Universitas Prasetiya Mulya

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This page is a summary of: PREDIKSI NILAI KURS MATA UANG DOLLAR AMERIKA (USD) DAN YUAN CHINA (CNY) DENGAN RUPIAH (IDR) MENGGUNAKAN METODE ARIMA, VARIANCE Journal of Statistics and Its Applications, May 2024, Universitas Pattimura,
DOI: 10.30598/variancevol6iss1page99-112.
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