Forecasting Interest Rate of Bank Indonesia Certificate Based on Multivariate Fuzzy Time Series Data

Authors

  • Agus Maman Abadi Jurusan Pendidikan Matematika, FMIPA Universitas Negeri Yogyakarta
  • Subanar Subanar Jurusan Matematika, FMIPA Universitas Gadjah Mada Yogyakarta
  • Widodo Widodo Jurusan Matematika, FMIPA Universitas Gadjah Mada Yogyakarta
  • Samsubar Saleh Jurusan Ilmu Ekonomi, Fakultas Ekonomika dan Bisnis Universitas Gadjah Mada Yogyakarta

Keywords:

Fuzzy set, fuzzy time series, forecasting, interest rate of BIC

Abstract

The aim of this research is to establish a model for forecasting interest rate of Bank Indonesia Certificate (BIC)based on six-factors one-order fuzzy time series data where the main factor is interest rate of BIC and thesecondary factors are interest rate of deposit, exchange rate, deposit supply, inflation rate and money supply.Steps to forecasting interest rate of BIC are based on Wang’s method. The result of this research is thatprediction of interest rate of BIC using multivariate fuzzy time series model has higher accuracy than that usingneural network method with average forecasting error 3.1256% and MSE value = 0.2699.

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Published

2010-07-01

Issue

Vol. 11 No. 2 (2010)

Section

General