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.