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All Journal IJoICT (International Journal on Information and Communication Technology)
Siti Sa’adah
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Computer Science & IT

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The Foreign Exchange Rate Prediction Using Long-Short Term Memory: A Case Study in COVID-19 Pandemic Hasna Haifa Zahrah; Siti Sa’adah; Rita Rismala
International Journal on Information and Communication Technology (IJoICT) Vol. 6 No. 2 (2020): December 2020
Publisher : School of Computing, Telkom University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21108/IJOICT.2020.62.538

Abstract

The foreign exchange market is a global financial market that is influenced by economic, political, and psychological factors that are interconnected in complex ways. This complexity makes the foreign exchange market a difficult time-series prediction. At the end of 2019, the world was faced with the COVID-19 pandemic that has not only affected public health but also the foreign exchange market, which makes the trading behaviour affected. Long Short-Term Memory network (LSTM) is a type of recurrent neural network (RNN) that can solve long-term dependencies and is suitable to be a financial time-series model. This study implemented the LSTM model to predict the foreign exchange rate at a timeframe of 1 hour and daily in 2020 to get the best hyperparameter based on the RMSE evaluation results. Furthermore, with the obtained hyperparameters, the prediction result of 2020 was then compared with the 2018 and 2019 prediction results. The best RMSE result was obtained in 1-hour timeframe and when 2020’s RMSE result was compared to 2018’s and 2019’s RMSE result, the prediction of 2019 gave the best RMSE result. The LSTM model is able to achieve good results in the 2020 prediction, proven by the RMSE result which is 0.00135.
STL Decomposition and SARIMA Model: The Case for Estimating Value-at-Risk of Covid-19 Increment Rate in DKI Jakarta Agnes Zahrani; Aniq A. Rohmawati; Siti Sa’adah
International Journal on Information and Communication Technology (IJoICT) Vol. 7 No. 2 (2021): December 2021
Publisher : School of Computing, Telkom University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21108/ijoict.v7i2.553

Abstract

In this research, we propose an extreme values measure, the Value-at-Risk (VaR) based Seasonal Trend Loess (STL) Decomposition and Seasonal Autoregressive Integrated Moving Average (SARIMA) models, which is more sensitive to the seasonality of extreme value than the conventional VaR. We consider the problem of the seasonality and extreme value for increment rate of Covid-19 forecasting. For stakeholder, government and regulator, VaR estimation can be implemented to face the extreme wave of new positive Covid-19 in the future and minimize the losses that possibly affected in term of financial and human resources. Specifically, the estimation of VaR is developed with the difference lies on parameter estimators of STL and SARIMA model. The VaR has coverage probability as well as close 1-α. Thus, we propose to set α as parameter to estimate VaR. Consequently, the performance of VaR will depend not only on parameter model but also α. Our aim estimates VaR with minimum α based on correct VaR value. Numerical analysis is carried out to illustrate the estimative VaR.
Forecasting the COVID-19 Increment Rate in DKI Jakarta Using Non-Robust STL Decomposition and SARIMA Model Rosmelina Deliani Satrisna; Aniq A. Rohmawati; Siti Sa’adah
International Journal on Information and Communication Technology (IJoICT) Vol. 7 No. 1 (2021): June 2021
Publisher : School of Computing, Telkom University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21108/ijoict.v7i1.554

Abstract

The Corona virus known as COVID-19 was first present in Wuhan, China at this time has troubled many countries and its spread is very fast and wide. Data on daily confirmed COVID-19 cases were collected from the DKI Jakarta province between early May 2020 and late January 2021. The daily increase in confirmed COVID-19 cases has a percentage of the value of increase in total cases. In this study, modeling and analysis of forecasting the increment rate in daily number of new cases COVID-19 DKI Jakarta was carried out using the Seasonal-Trend Loess (STL) Decomposition and Seasonal Autoregressive Integrated Moving Average (SARIMA) models. STL Decomposition is a form of algorithm developed to help decompose a Time Series, and techniques considering seasonal and non-stationary observation. The results of the best forecasting accuracy are proven by STL-ARIMA, there are MAPE and MSE which only have an error value of 0.15. This proposed approach can be used for consideration for the DKI Jakarta government in making policies for handling COVID-19, as well as for the public to adhere to health protocols.
Co-Authors Agnes Zahrani Aniq A. Rohmawati Hasna Haifa Zahrah Rita Rismala Rosmelina Deliani Satrisna