PEMODELAN INDEKS HARGA PERDAGANGAN BESAR (IHPB) SEKTOR EKSPOR MENGGUNAKAN ARFIMA-GARCH

Indonesia's price index serves as a barometer for the nation's economic condition. One of Indonesia’s is Wholesale Price Index (WPI). WPI that tracks average change in wholesale prices over time. Time series analysis can be used forecasting because one time data. long memory, which condition data from different periods have high link despite being separated by large amount The Autoregressive Fractional Integrated Moving Average (ARFIMA) model to overcome this feature when modeling assumption constant error variance not fulfilled IHPB analysis, indicating heteroscedastic. GARCH (Generalized Auto Regressive Conditional Heteroscedasticity) models heteroscedasticity. export sector January 2003 June 2021. best ARFIMA(1,b,2) – GARCH(1,1) with b=0,7345333, and MAPE value 3,150875%.