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M. Fariz Fadillah Mardianto
Department of Mathematics, Faculty of Science and Technology, Universitas Airlangga, Jl. Dr. Ir. H. Soekarno, Mulyorejo, Kec. Mulyorejo, Kota Surabaya, Jawa Timur 60115
Decision Sciences, Operations Research & Management

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MODELING OF WORLD CRUDE OIL PRICE BASED ON PULSE FUNCTION INTERVENTION ANALYSIS APPROACH Netha Aliffia; Sediono Sediono; Suliyanto Suliyanto; M. Fariz Fadillah Mardianto; Dita Amelia
MEDIA STATISTIKA Vol 16, No 2 (2023): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/medstat.16.2.136-147

Abstract

Crude oil has important role in global economy, including Indonesia with considerable dependence on crude oil energy consumption. The increase in crude oil prices can be triggered by several factors, one of which is geopolitical conflict that occurred due to Russia's invasion of Ukraine on February 24, 2022. As the result, world crude oil prices rose above US$100 per barrel for the first time since 2014. Therefore, this study uses pulse function intervention analysis approach to evaluate the impact of certain events in predicting data over the next few periods. The pulse function is used because the intervention occurs at the moment t only. The data used starts from June 8, 2020 to September 19, 2022 on weekly basis with the proportion of training and testing data is 90:10. The best intervention model obtained is ARIMA (3,2,0) with b=0, s=1, r=2, and intervention point at T=91. The prediction results for the next 12 periods obtained MAPE value of 2.8982% and MSE of 10.2687. This study is expected to help reduce risks due to uncertainty in world crude oil prices and in line with the goals of the Sustainable Development Goals (SDGs) to ensure access to reliable, sustainable, and affordable energy.
Co-Authors Dita Amelia Netha Aliffia Sediono Sediono Suliyanto