Gumgum Darmawan, Wirawan Setialaksana, Ina Kusrini, Syahrul Ganda Sukmaya, Arnita, Mulianta Ginting, Dedi Rosadi, Budi N. Ruchjana
The COVID-19 pandemic has had a significant impact on the banking sector in addition to the healthcare sector, with the Rupiah reaching its lowest value in 18 years since the currency crisis in Indonesia. The main objective of this study is to analyze and forecast the movement of the Rupiah during Ramadhan. In this study, Time Series Analysis is utilized with four models: ARIMA (Auto-Regressive Integrated Moving Average), GARCH (General Autoregressive Heteroscedastic Condition) Model, ETS (Exponential Smoothing with State Space Approach), and Expert Model. All four models were found to be effective in predicting the movement of the Rupiah during Ramadhan, with the ETS model having the lowest MAPE (Mean Absolute Percentage Error) value compared to the other three models. Despite the government's inability to control the Rupiah's movement during the month of Ramadhan, the currency did not experience significant changes during this time. The results of the study indicate that the ETS model outperforms the other models with an average MAPE of 0.48%, followed by the Expert Model with 0.55%, GARCH with 0.58%, and ARIMA with 1.20%. Overall, all four models were able to successfully model the Rupiah's movement during Ramadhan, with MAPE values below 5%, indicating relatively low fluctuations and no significant volatility in the market during Ramadhan in the COVID-19 era. © 2024 American Institute of Physics Inc.. All rights reserved.
Department of Statistics, Universitas Padjadjaran, Bandung, Indonesia; Department of Informatics and Computer Engineering Education, Universitas Negeri Makassar, Makasar, Indonesia; National Institute Health Research and Development, Magelang, Indonesia; Department of Agribusiness, Universitas Jenderal Soedirman, Purwokerto, Indonesia; Department of Mathematics, Universitas Negeri, Medan, Indonesia; Research Center, Secretariat General the House of Representative of Republic Indonesia, Jakarta, Indonesia; Department of Mathematics, Universitas Gadjah Mada, Jogjakarta, Indonesia; Department of Mathematics, Universitas Padjadjaran, Bandung, Indonesia
