3 research outputs found
Prediction of Dow Jones Index, US Inflation, and Interest Rate with Kernel Estimator and Vector Error Correction Model
Get PDFThe Dow Jones Industrial Average (DJIA) is the oldest running U.S. stock market index, established by Dow Jones & Company under Charles Dow. Comprising thirty major publicly traded companies, the DJIA is a key indicator of macroeconomic health, reflecting investor confidence and economic stability. This study applies a quantitative research approach to forecast DJIA stock prices, inflation, and U.S. interest rates using time series analysis. Two forecasting methods are compared: Vector Error Correction Model (VECM) and Kernel regression. VECM, a parametric approach, estimates both short- and long-term relationships among economic variables, while Kernel regression, a nonparametric technique, effectively captures complex, nonlinear relationships without strict model assumptions. The results indicate that the Gaussian Kernel method provides the most accurate predictions, achieving a Mean Absolute Percentage Error (MAPE) of 5.72%. The analysis also shows that despite annual fluctuations, the DJIA has exhibited a steady growth trend from 2009 to 2024, with both its starting and ending prices increasing over time. This research is significant for investors, policymakers, and financial analysts, offering insights into market trends and economic indicators. By providing a reliable forecasting model, it aids in better decision-making regarding stock market investments and economic policies
FOREIGN EXCHANGE RATE PREDICTION OF INDONESIA'S LARGEST TRADING PARTNER BASED ON VECTOR ERROR CORRECTION MODEL
Get PDFForeign exchange rates from the currencies of trading partners are a critical element in the development of Indonesia's economic landscape. As an active country in international trade, Indonesia's economic health is highly dependent on trade partnerships, movements, and interactions of foreign exchange rates from Indonesia's main trading partners. To achieve economic stability, Bank Indonesia intervenes in the foreign exchange market to keep the Rupiah exchange rate within a reasonable range. Indonesia is committed to achieving several points in the Sustainable Development Goals (SDGs), such as point 17, which emphasizes partnerships, and point 8, which underlines inclusive and sustainable economic growth. This commitment is an important factor in Indonesia's economic development. Therefore, it is necessary to predict the exchange rate value of Indonesia's largest trading partners considering these SDG aspects. In this study, the Vector Error Correction Model (VECM) was used to predict the foreign exchange rate of Indonesia's largest trading partners. The data used in this study is secondary data obtained from the investing.com webpage, comprising weekly data from January 2021 to November 2023. The foreign exchange rates of Indonesia's largest trading partners have a cointegration relationship, indicating long-term relationships and similarities in movements. The best model identified is VECM (1), with a very accurate MAPE value of 3.29%. The Impulse Response Function (IRF) analysis shows that the Chinese Yuan responds variably to different currencies, stabilizing over time. Variance Decomposition reveals that short-term fluctuations in the Chinese Yuan are primarily influenced by itself (87.89%) and significantly by the Singapore Dollar, South Korean Won, and Taiwan Dollar. The Granger Causality Test indicates that the Philippine Peso influences 11 other exchange rates, refining the VECM model and improving prediction accuracy. Indonesia is expected to build economic collaborations that can help achieve economic stability
Indeks Pembangunan Gender Indonesia dalam Perspektif Pendekatan Spasial dengan Pembobot Queen Contiguity
Get PDFIsu gender menjadi fokus global karena ketimpangan dalam hak-hak dan kontribusi laki-laki dan perempuan dalam pembangunan. Pencapaian Indeks Pembangunan Gender (IPG) menjadi tolok ukur penting dalam upaya mencapai kesetaraan gender dan pembangunan manusia yang inklusif di Indonesia. Penelitian ini bertujuan untuk memodelkan Indeks Pembangunan Gender di Indonesia dengan pendekatan regresi spasial dengan variabel-variabel yang diduga mempengaruhi IPG. Metode yang digunakan dalam penelitian ini adalah regresi spasial dengan pembobot Queen Contiguity. Berdasarkan penelitian yang telah dilakukan dengan tiga jenis pemodelan didapatkan model terbaik dalam pemodelan Indeks Pembangunan Gender di Indonesia adalah model regresi spasial error dengan nilai AIC sebesar 154,950 dan nilai R2 sebesar 0,6643. Analisis spasial mengungkapkan adanya korelasi dan heterogenitas spasial antar wilayah, menyoroti pentingnya mempertimbangkan aspek spasial dalam merancang kebijakan untuk meningkatkan pembangunan gender di Indonesia. Dengan demikian, upaya perbaikan dan kesetaraan gender sebaiknya diterapkan dengan mempertimbangkan variabilitas spasial serta fokus pada aspek-aspek yang telah diidentifikasi melalui pemodelan ini
