Dynamic Modeling Data Export Oil and Gas and Non-Oil and Gas by ARMA(2,1)-GARCH(1,1) Model: Study of Indonesian s Export over the Years 2008-2019

Nairobi Nairobi, Edwin Russel, Ambya Ambya, Arif Darmawan, Mustofa Usman and Wamiliana Wamiliana
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Nairobi Nairobi: Department of Economic Development, Faculty of Economic and Business, Universitas Lampung, Indonesia,
Edwin Russel: Department of Economic Development, Faculty of Economic and Business, Universitas Lampung, Indonesia,
Ambya Ambya: Department of Economic Development, Faculty of Economic and Business, Universitas Lampung, Indonesia,
Arif Darmawan: Department of Economic Development, Faculty of Economic and Business, Universitas Lampung, Indonesia,
Mustofa Usman: Department of Mathematics, Faculty of Mathematics and Sciences, Universitas Lampung, Indonesia
Wamiliana Wamiliana: Department of Mathematics, Faculty of Mathematics and Sciences, Universitas Lampung, Indonesia

International Journal of Energy Economics and Policy, 2020, vol. 10, issue 6, 175-184

Abstract: It is well known that a country's economy is very dependent on the export of goods and services produced by that country. This depends on exporting either mining products such as oil and gas or non-oil and gas. This paper will study the data export of oil and gas and data export of non-oil and gas of Indonesian over the years 2008 to 2019. The aim of this study is to obtain the best model that can describe the pattern of the data export of oil and gas and data export of non-oil and gas. From the results of the analysis, researchers found that the best models that can describe the pattern of data export of oil and gas and data export of non-oil and gas are the same, namely: ARMA (2.1) -GARCH (1.1) models. These models for both data are very significant with P-values

Keywords: Akaike s Information Criterion; Autoregressive Moving Average; Generalized Autoregressive Conditional Heteroscedasticity; Mean Average Percentage Error. (search for similar items in EconPapers)
JEL-codes: C32 Q4 Q47 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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