Paper Title :Forecasting Hierarchical Currency Circulation Data of Bank Indonesia Based on Two Levels ARIMAX Model

Author :I Gede Surya Adi Prayoga, Suhartono, Santi Puteri Rahayu

Article Citation :I Gede Surya Adi Prayoga ,Suhartono ,Santi Puteri Rahayu , (2016 ) " Forecasting Hierarchical Currency Circulation Data of Bank Indonesia Based on Two Levels ARIMAX Model " , International Journal of Management and Applied Science (IJMAS) , pp. 186-189, Volume-2,Issue-10

Abstract : This study concern on forecasting monthly currency inflow and outflow data of Bank Indonesia, which are hierarchical time series. Hierarchical time series forecasting needs special treatment to make the forecasts follow the hierarchy rule. Firstly, base forecasts were calculated individually for all series by using two levels ARIMAX model with Eid al-Fitr effect. The base forecasts were then revised by hierarchical methods including bottom-up, top-down and optimal combination method. Finally, the performance of hierarchical methods were evaluated based on the out-of-sample root mean squared error (RMSE) for all series. The results showed that the top-down method based on historical proportions and optimal combination method perform best respectively for currency inflow and outflow data. Keywords— Currency Circulation, Hierarchical Time Series, Bottom-Up, Top-Down, Optimal Combination.

Type : Research paper

Published : Volume-2,Issue-10

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