Comparison between hybrid quantile regression neural network and autoregressive integrated moving average with exogenous variable for forecasting of currency inflow and outflow in bank Indonesia
Some problems arise in time series analysis are nonlinearity and heteroscedasticity. Methods that can be used to analyze such problems are neural network and quantile regression. There are a lot of studies and developments on both methods, but the study that focuses on the performances of combinatio...
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Online Access: | http://eprints.utm.my/id/eprint/85645/1/MuhammadHisyamLee2018_ComparisonBetweenHybridQuantileRegression.pdf http://eprints.utm.my/id/eprint/85645/ http://dx.doi.org/10.11113/jt.v80.11785 |
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my.utm.856452020-07-07T05:16:10Z http://eprints.utm.my/id/eprint/85645/ Comparison between hybrid quantile regression neural network and autoregressive integrated moving average with exogenous variable for forecasting of currency inflow and outflow in bank Indonesia Prastyo, Dedy Dwi Suhartono, Suhartono Puka, Agnes Ona Bliti Lee, Muhammad Hisyam QA Mathematics Some problems arise in time series analysis are nonlinearity and heteroscedasticity. Methods that can be used to analyze such problems are neural network and quantile regression. There are a lot of studies and developments on both methods, but the study that focuses on the performances of combination of these two methods applied in real case are still limited. Therefore, this study performed a comparison between hybrid Quantile Regression Neural Network (QRNN) and Autoregressive Integrated Moving Average with Exogenous Variable (ARIMAX). Both methods were employed to model the currency inflow and outflow from Bank Indonesia in Nusa Tenggara Timur province. Based on the empirical result, the hybrid QRNN method provided better forecasting for currency outflow whereas the ARIMAX resulted in better forecasting for the inflow. Penerbit UTM Press 2018-11 Article PeerReviewed application/pdf en http://eprints.utm.my/id/eprint/85645/1/MuhammadHisyamLee2018_ComparisonBetweenHybridQuantileRegression.pdf Prastyo, Dedy Dwi and Suhartono, Suhartono and Puka, Agnes Ona Bliti and Lee, Muhammad Hisyam (2018) Comparison between hybrid quantile regression neural network and autoregressive integrated moving average with exogenous variable for forecasting of currency inflow and outflow in bank Indonesia. Jurnal Teknologi, 80 (6). pp. 61-68. ISSN 0127-9696 http://dx.doi.org/10.11113/jt.v80.11785 DOI:10.11113/jt.v80.11785 |
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Some problems arise in time series analysis are nonlinearity and heteroscedasticity. Methods that can be used to analyze such problems are neural network and quantile regression. There are a lot of studies and developments on both methods, but the study that focuses on the performances of combination of these two methods applied in real case are still limited. Therefore, this study performed a comparison between hybrid Quantile Regression Neural Network (QRNN) and Autoregressive Integrated Moving Average with Exogenous Variable (ARIMAX). Both methods were employed to model the currency inflow and outflow from Bank Indonesia in Nusa Tenggara Timur province. Based on the empirical result, the hybrid QRNN method provided better forecasting for currency outflow whereas the ARIMAX resulted in better forecasting for the inflow. |
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Article |
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Prastyo, Dedy Dwi Suhartono, Suhartono Puka, Agnes Ona Bliti Lee, Muhammad Hisyam |
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Prastyo, Dedy Dwi Suhartono, Suhartono Puka, Agnes Ona Bliti Lee, Muhammad Hisyam |
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Prastyo, Dedy Dwi |
title |
Comparison between hybrid quantile regression neural network and autoregressive integrated moving average with exogenous variable for forecasting of currency inflow and outflow in bank Indonesia |
title_short |
Comparison between hybrid quantile regression neural network and autoregressive integrated moving average with exogenous variable for forecasting of currency inflow and outflow in bank Indonesia |
title_full |
Comparison between hybrid quantile regression neural network and autoregressive integrated moving average with exogenous variable for forecasting of currency inflow and outflow in bank Indonesia |
title_fullStr |
Comparison between hybrid quantile regression neural network and autoregressive integrated moving average with exogenous variable for forecasting of currency inflow and outflow in bank Indonesia |
title_full_unstemmed |
Comparison between hybrid quantile regression neural network and autoregressive integrated moving average with exogenous variable for forecasting of currency inflow and outflow in bank Indonesia |
title_sort |
comparison between hybrid quantile regression neural network and autoregressive integrated moving average with exogenous variable for forecasting of currency inflow and outflow in bank indonesia |
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Penerbit UTM Press |
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2018 |
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http://eprints.utm.my/id/eprint/85645/1/MuhammadHisyamLee2018_ComparisonBetweenHybridQuantileRegression.pdf http://eprints.utm.my/id/eprint/85645/ http://dx.doi.org/10.11113/jt.v80.11785 |
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