THE MODELING OF RICE AND LOCAL SUGAR PRICES THROUGH TIME SERIES HYBRID MODEL
A staple crop production is one of gauges a countrys prosperity, especially the materials primary commodities such as rice and sugar. The staple price observations based on time form a time series data. Since both commodities prices may be suddenly increased or decreased then those phenomena shou...
Saved in:
| Main Author: | |
|---|---|
| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/19517 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| id |
id-itb.:19517 |
|---|---|
| spelling |
id-itb.:195172017-09-27T11:43:12ZTHE MODELING OF RICE AND LOCAL SUGAR PRICES THROUGH TIME SERIES HYBRID MODEL SETIYOWATI, SUSI Indonesia Final Project Hybrid Model, Non-stationer, ARIMA, GARCH, Forecast, Spiky Be- havior. INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/19517 A staple crop production is one of gauges a countrys prosperity, especially the materials primary commodities such as rice and sugar. The staple price observations based on time form a time series data. Since both commodities prices may be suddenly increased or decreased then those phenomena should be analyzed by hybrid time series ARIMA-GARCH model. The average of each rice and sugar prices in five main traditional market of Bandung, are used as case study. The plots of data show that both rice and sugar prices are non-stationary processes. Those processes have normal and spiky behaviors. It makes the necessity to renew the modeling using hybrid model, which considers the homoscedastic and heteroscedastic processes. Two considered models are ARIMA for homoscedastic part and GARCH for heteroscedastic part, whose mean and variance are not constant. It is obtained that both rice and sugar prices observations have similar pattern, so that they have the same time series models, which are ARIMA(2,1,1), GARCH(2,1), and ARIMA- GARCH. text |
| institution |
Institut Teknologi Bandung |
| building |
Institut Teknologi Bandung Library |
| continent |
Asia |
| country |
Indonesia Indonesia |
| content_provider |
Institut Teknologi Bandung |
| collection |
Digital ITB |
| language |
Indonesia |
| description |
A staple crop production is one of gauges a countrys prosperity, especially the
materials primary commodities such as rice and sugar. The staple price observations
based on time form a time series data. Since both commodities prices may be
suddenly increased or decreased then those phenomena should be analyzed by hybrid
time series ARIMA-GARCH model. The average of each rice and sugar prices in
five main traditional market of Bandung, are used as case study. The plots of
data show that both rice and sugar prices are non-stationary processes. Those
processes have normal and spiky behaviors. It makes the necessity to renew the
modeling using hybrid model, which considers the homoscedastic and heteroscedastic
processes. Two considered models are ARIMA for homoscedastic part and GARCH
for heteroscedastic part, whose mean and variance are not constant. It is obtained
that both rice and sugar prices observations have similar pattern, so that they have
the same time series models, which are ARIMA(2,1,1), GARCH(2,1), and ARIMA-
GARCH. |
| format |
Final Project |
| author |
SETIYOWATI, SUSI |
| spellingShingle |
SETIYOWATI, SUSI THE MODELING OF RICE AND LOCAL SUGAR PRICES THROUGH TIME SERIES HYBRID MODEL |
| author_facet |
SETIYOWATI, SUSI |
| author_sort |
SETIYOWATI, SUSI |
| title |
THE MODELING OF RICE AND LOCAL SUGAR PRICES THROUGH TIME SERIES HYBRID MODEL |
| title_short |
THE MODELING OF RICE AND LOCAL SUGAR PRICES THROUGH TIME SERIES HYBRID MODEL |
| title_full |
THE MODELING OF RICE AND LOCAL SUGAR PRICES THROUGH TIME SERIES HYBRID MODEL |
| title_fullStr |
THE MODELING OF RICE AND LOCAL SUGAR PRICES THROUGH TIME SERIES HYBRID MODEL |
| title_full_unstemmed |
THE MODELING OF RICE AND LOCAL SUGAR PRICES THROUGH TIME SERIES HYBRID MODEL |
| title_sort |
modeling of rice and local sugar prices through time series hybrid model |
| url |
https://digilib.itb.ac.id/gdl/view/19517 |
| _version_ |
1822919565014728704 |