Prediksi Harga Emas Domestik Dengan Inflasi, Suku Bunga, Dan Kurs USD/IDR Menggunakan Model Hybrid ARIMAX-NGARCH Dan Value At Risk

Sulistyowati, Niken (2026) Prediksi Harga Emas Domestik Dengan Inflasi, Suku Bunga, Dan Kurs USD/IDR Menggunakan Model Hybrid ARIMAX-NGARCH Dan Value At Risk. Undergraduate thesis, UPN Veteran Jawa Timur.

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Abstract

Changes in inflation, interest rates, and the USD/IDR exchange rate affect the movement of gold prices in Indonesia—both as an investment instrument and a safe haven—thereby causing high volatility and uncertainty in forecasts. This study aims to forecast the prices of ANTAM and HRTA gold using an ARIMAX model combined with NGARCH, and to measure risk using Value at Risk (VaR). The data used consists of monthly gold prices for the period 2010–2025, with exogenous variables including inflation, interest rates, and the USD/IDR exchange rate. The analysis involved data collection and cleaning, an ADF stationarity test, and differencing where necessary. ARIMAX was used to model the influence of macroeconomic variables on average prices, while NGARCH was used to capture the nonlinear and asymmetric nature of residual volatility. Model performance was evaluated using RMSE and MAPE. The results show that the ARIMAX–NGARCH model produced a MAPE of 1.00% (ANTAM) and 2.10% (HRTA) and was able to better capture volatility. The NGARCH model produced relatively stable volatility at 4.87% for ANTAM and indicated a higher level of risk for HRTA. Risk measurement using a 95% Value at Risk (VaR) produced a January 2026 VaR of 1.8864% for ANTAM and -4.5236% for HRTA, indicating that ANTAM carries lower risk than HRTA. The ARIMAX–NGARCH and VaR models were able to provide both price forecasts and investment risk assessments for gold investment decision-making.

Item Type:

Thesis (Undergraduate)

Contributors:

Contribution	Contributors	NIDN/NIDK	Email
Thesis advisor	Idhom, Mohammad	NIDN0010038305	idhom@upnjatim.ac.id
Thesis advisor	Wara, Shindi Shella May	NUPTK1850774675230252	shindi.shella.fasilkom@upnjatim.ac.id

Subjects:

H Social Sciences > H Social Sciences (General)
H Social Sciences > HA Statistics
Q Science > QA Mathematics
Q Science > QA Mathematics > QA76.6 Computer Programming

Divisions:

Faculty of Computer Science > Departemen of Data Science

Depositing User:

NIKEN SULISTYOWATI

Date Deposited:

21 Jul 2026 01:18

Last Modified:

21 Jul 2026 02:01

URI:

https://repository.upnjatim.ac.id/id/eprint/56355