Forecasting indonesia's non-oil and gas exports and imports using the vector autoregressive integrated moving average (VARIMA) model
DOI:
https://doi.org/10.30606/absis.v9i1.3746Keywords:
exports, forecasting, imports, non-oil and gas, VARIMA, peramalan deret waktu, non migasAbstract
Indonesia’s international trade, particularly in the non-oil and gas sector, plays a significant role in the national economy. This study aims to model and forecast Indonesia’s non-oil and gas exports and imports using the Vector Autoregressive Integrated Moving Average (VARIMA) model, a multivariate time series method that considers dynamic interdependence between variables. The data used in this study were monthly data from January 2018 to December 2024, consisting of 84 observations divided into 58 training data and 26 testing data. Model order identification was carried out using the Matrix Autocorrelation Function (MACF) for the MA component and the Matrix Partial Autocorrelation Function (MPACF) for the AR component. Parameter estimation was conducted using Maximum Likelihood Estimation (MLE) and refined through a restriction process to retain only statistically significant parameters. Diagnostic tests showed that the residuals met the assumptions of white noise and multivariate normality. Among several candidate models, VARIMA(2,1,2) was selected as the optimal model based on the balance between information criteria, model complexity, parameter stability, and forecasting reliability. The model produced MAPE values of 11.10% for imports, categorized as good, and 8.81% for exports, categorized as very good. The forecast results showed relatively stable fluctuations, with imports projected to range from US$14.32 million to US$18.48 million and exports from US$18.38 million to US$26.41 million. These findings indicate that the VARIMA(2,1,2) model provides adequate forecasting performance and can serve as a quantitative basis for supporting foreign trade policy planning, particularly in anticipating the dynamics of Indonesia’s non-oil and gas exports and imports.
Downloads
References
Ahmad, A. (2019). Review: International trade and the import/export business. International Journal of Foreign Trade and International Business, 1(2), 20–22. https://doi.org/10.33545/26633140.2019.v1.i2a.17
Aisyah, S., & Renggani, T. D. (2021). Determinants of Indonesia non-oil and gas exports to non-traditional market. International Journal of Economics, Business and Accounting Research, 5(3), 1136–1142. https://jurnal.stie-aas.ac.id/index.php/IJEBAR/article/view/3310
Apriani, W., & Hayati, R. (2021). Metode ARIMA untuk memodelkan volume produksi kelapa sawit pada PT. SOCFINDO di Kabupaten Aceh Tamiang. Jurnal Absis: Jurnal Pendidikan Matematika dan Matematika, 3(2), 309–319. https://doi.org/10.30606/absis.v3i2.669
Febrianti, D. R., Tiro, M. A., & Sudarmin, S. (2021). Metode vector autoregressive (VAR) dalam menganalisis pengaruh kurs mata uang terhadap ekspor dan impor di Indonesia. VARIANSI: Journal of Statistics and Its Application on Teaching and Research, 3(1), 23. https://doi.org/10.35580/variansiunm14645
Haryani, P., & Ferdous Azam, S. M. (2021). The impact of exports and imports on economic growth in Indonesia: The mediating role of exchange rates. Hong Kong Journal of Social Sciences, 58, 220–228.
Hotsawadi, H., & Gea, I. V. (2024). Measuring the competitiveness and efficiency of Indonesian non-oil and gas exports to non-traditional markets. Jurnal Hubungan Luar Negeri, 9(2). https://doi.org/10.70836/jh.v9i2.58
Iwok, I. A., & Okpe, A. S. (2016). A comparative study between univariate and multivariate linear stationary time series models. American Journal of Mathematics and Statistics, 6(5), 203–212. https://doi.org/10.5923/j.ajms.20160605.02
Kartikasari, D. (2017). The effect of export, import and investment to economic growth of Riau Islands Indonesia. International Journal of Economics and Financial Issues, 7(4), 663–667. https://www.econjournals.com
Nasution, H. M., & Cipta, H. (2022). Analisis spasial dan temporal data kejadian bencana banjir dengan model generalized space time autoregressive integrated moving average (GSTARIMA). Jurnal Absis: Jurnal Pendidikan Matematika dan Matematika, 6(1), 810–825. https://doi.org/10.30606/absis.v6i1.2171
Ng, Y. N., Lim, H. Y., Cham, Y. C., Bakar, M. A. A., & Ariff, N. M. (2024). Comparison between LSTM, GRU and VARIMA in forecasting of air quality time series data. Malaysian Journal of Fundamental and Applied Sciences, 20(6), 1248–1260. https://doi.org/10.11113/mjfas.v20n6.3411
Nugroho, A. A.-Z. (2022). Pemodelan multivariate time series dengan vector autoregressive integrated moving average (VARIMA). Jurnal Riset Statistika, 2(2), 93–102. https://doi.org/10.29313/jrs.v2i2.1150
Putri, K. S., & Halim, S. (2020). Currency movement forecasting using time series analysis and long short-term memory. International Journal of Industrial Optimization, 1(2), 71. https://doi.org/10.12928/ijio.v1i2.2490
Rahayu, S. E. (2021). Analysis of Indonesian non-oil and gas export development by manufacturing sector 2016–2020 period. Journal of International Conference Proceedings, 4(2), 576–583. https://doi.org/10.32535/jicp.v4i2.1294
Rini Silaban, & Nurlina. (2022). Pengaruh nilai tukar dan inflasi terhadap ekspor non migas di Indonesia. Jurnal Samudra Ekonomika, 6(1), 50–59. https://doi.org/10.33059/jse.v6i1.5123
Rusyana, A., Tatsara, N., Balqis, R., & Rahmi, S. (2020). Application of clustering and VARIMA for rainfall prediction. IOP Conference Series: Materials Science and Engineering, 796(1), Article 012063. https://doi.org/10.1088/1757-899X/796/1/012063
Septyari, F. M. (2021). Grey forecasting of the exports of Indonesian palm oil to India. International Journal of Grey Systems, 1(2), 60–68. https://doi.org/10.52812/ijgs.23
Sherly, A., Christo, M. S., & Elizabeth, J. V. (2025). A hybrid approach to time series forecasting: Integrating ARIMA and Prophet for improved accuracy. Results in Engineering, 27, Article 105703. https://doi.org/10.1016/j.rineng.2025.105703
Suryatin, E., Hadijati, M., & Widya Baskara, Z. (2024). Hybrid ARIMA modeling with stochastic volatility for forecasting the value of non-oil and gas exports in Indonesia. International Journal of Computing Science and Applied Mathematics, 10(1), 27. https://doi.org/10.12962/j24775401.v10i1.20265
Susanto, P. C., Subagio, M., Barus, G. A., Febrian, W. D., & Sani, I. (2024). International trade: Economic growth supports export and import activities. Greenation International Journal of Economics and Accounting, 2(1), 44–52. https://research.e-greenation.org/GIJEA/article/view/163
Warsono, Russel, E., Wamiliana, Widiarti, & Usman, M. (2019). Modeling and forecasting by the vector autoregressive moving average model for export of coal and oil data: Case study from Indonesia over the years 2002–2017. International Journal of Energy Economics and Policy, 9(4), 240–247. https://doi.org/10.32479/ijeep.7605
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2026 Sifha Desti Wulandari, Madona Yunita Wijaya, Irma Fauziah
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
