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forecasting about tropical fruit in malaysia
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FORECASTING
NAME NO.MATRIX
ELIS ERVINA BINTI SULIMAN
NORHIDAYAH BINTI ZULKEFLI
INTRODUCTION
*The data will helps us to forecast the price of tropical fruits for the next period.*Box Jenkins ARIMA modeling approach is followed (Harvey, 1993) to generate the forecast of the monthly price of tropical fruits. *The final models that used for forecasting are determined by a number of diagnostic statistics including the Mean Squared Error (MSE), Root Mean Squared Error (RMSE), Akaike Information Criterion (AIC) and Bayesian Information Criterion (BIC).
DESCRIPTION DATA
Focused on the topic tropical fruits in Malaysia from January 1990 to December 1998.
It divided into fitted and hold out parts ( January 1990 until September 1996 is for estimation part while October 1996 up to December 1998 is for evaluation part)
DATA ANALYSISGraph of initial data from January 1990 until September 1996.
Table ACF and PACF:
After First Difference:
Table ACF and PACF:
Five models have been identified and estimated using Eview
STATISTICAL MODEL
ARIMA(0, 1, 1)
ARIMA(2, 1, 1)
ARIMA(2, 1, 0)
ARIMA(1, 1, 0)
ARIMA(1, 1, 1)
AIC 0.015470 -0.090462 0.115171 0.127253 -0.120246
SBC 0.075021 0.030394 0.205813 0.187239 -0.030267
MSE 0.058013 0.050881 0.063266 0.064854 0.050019
DYNAMIC FORECASTEstimation:
MEASURE ERROR MODEL
ARIMA(0, 1, 1) ARIMA(2, 1, 1) ARIMA(1, 1, 1)
MSE 0.073645 0.067447 0.067103
RMSE 0.271377 0.259705 0.259042
MAPE 98.89542 99.98908 97.78867
Evaluation:
MEASURE ERROR MODEL
ARIMA(0, 1, 1) ARIMA(2, 1, 1) ARIMA(1, 1, 1)
MSE 0.210160 0.210476 0.209699
RMSE 0.458432 0.458777 0.457929
MAPE 111.5229 109.6942 106.2585
RESULT
MEASURE ERROR MODEL
UNIVARIATE MODEL (Holt- Winter)
ARIMA(1, 1, 1)
MSE 0.19 0.209699
RMSE 0.43 0.457929
MAPE(%) 100.93 106.2585
CONCLUSIONBased on error measure, the
univariate model which is Holt-Winter is shown the smallest error measure. For MSE is 0.19, RMSE IS 0.43 and MAPE is 100.93. We can say that the univariate model is the best model for
forecasting the future price of tropical fruits.