MODEL PERAMALAN NILAI TUKAR MATA UANG MENGGUNAKAN METODE HYBRID GLARANN

https://doi.org/10.22146/jmt.59773

Yogya Ardi Winata(1), Subanar Subanar(2*)

(1) Universitas Gadjah Mada
(2) Departemen Matematika Fakultas MIPA, Universitas Gadjah Mada
(*) Corresponding Author

Abstract


Metode hybrid GLARANN merupakan gabungan dari model Generalized Lin-
ear Autoregression (GLAR) yang termasuk model linear dan Artificial Neural Network
(ANN) yang digolongan dalam model nonlinear. Gagasan metode hybrid GLARANN
adalah menggunakan kelebihan dari masing-masing model, yaitu model GLAR dalam
mendeteksi pola linear dan ANN dalam mendeteksi pola nonlinear pada data runtun
waktu. Tujuan penelitian ini adalah untuk mengetahui prosedur penyusunan model pera-
malan metode hybrid GLARANN, serta aplikasi dan efektifitasnya. Aplikasi metode hy-
brid GLARANN yaitu pada peramalan nilai tukar rupiah (IDR) terhadap beberapa mata
uang asing, yaitu dollar Amerika (USD), euro (EUR), yen Jepang (JPY), dollar Hongkong
(HKD), dollar Australia (AUD), dan dollar Singapura (SGD), dengan nilai ekspor seba-
gai variabel eksogen. Hasil peramalan menunjukkan metode hybrid GLARANN efektif
dalam peramalan AUD berdasarkan nilai RMSE, MAE, MAPE dan NMSE. Namun tidak
efektif pada peramalan HKD, SGD, dan USD. Pada peramalan EUR dan JPY, model
GLAR merupakan metode yang paling efektif. Sedangkan, metode hybrid GLARANN
hanya lebih efektif daripada ANN berdasarkan RMSE dan NMSE.


Keywords


Metode hybrid; model GLAR; neural network; peramalan; nilai tukar mata uang.

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DOI: https://doi.org/10.22146/jmt.59773

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