Ransi, Paloma (2026) Peramalan Nilai Tukar Rupiah Terhadap Dolar AS Dengan Integrasi Variabel Harga Minyak Mentah Dunia Menggunakan Metode ARIMAX. Undergraduate thesis, UPN Veteran Jawa Timur.
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Abstract
The exchange rate was a key macroeconomic indicator in maintaining economic stability. Volatile movements directly affected inflation, import costs, trade flows, and investment decisions. As a net oil-importing country, Indonesia was highly vulnerable to world crude oil price fluctuations, as rising prices increased US dollar demand and pressured the Rupiah. This tudy aimed tomforecast themRupiah againstm the USmDollar usingmthe ARIMAX model with Brent Crude oil prices as an exogenous variable. The data consisted of 1,758 daily observations from January 2019 to September 2025. Research procedures included stationarity testing via the ADF test, model identification through ACF/PACF plots, and the evaluation of nine candidate models. Results indicated that ARIMAX(2,1,0) was the mbest-performingmmodel, achieving an RMSE of 70.89 and a highly accurate MAPE of 0.3605%. Crude oil prices influenced the exchange rate, though the effect wasmnot statisticallymsignificantmatmthem5%mlevelm(p-value = 0.071). Keywords: Exchange Rate, Crude Oil Price, ARIMAX, Forecasting, Time series
| Item Type: | Thesis (Undergraduate) | ||||||||||||
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| Subjects: | Q Science > QA Mathematics > QA75 Electronic computers. Computer science Q Science > QA Mathematics > QA76 Computer software Q Science > QA Mathematics > QA76.6 Computer Programming |
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| Divisions: | Faculty of Computer Science > Departemen of Information Systems | ||||||||||||
| Depositing User: | Paloma Ransi | ||||||||||||
| Date Deposited: | 26 May 2026 02:22 | ||||||||||||
| Last Modified: | 26 May 2026 02:22 | ||||||||||||
| URI: | https://repository.upnjatim.ac.id/id/eprint/52561 |
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