PEMODELAN WAVELET NEURAL NETWORK UNTUK PREDIKSI NILAI TUKAR RUPIAH TERHADAP DOLAR AS

*Tri Yani Elisabeth Nababan  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Budi Warsito  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Agus Rusgiyono  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Published: 28 May 2020.
Open Access Copyright 2020 Jurnal Gaussian
License URL: http://creativecommons.org/licenses/by-nc-sa/4.0

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Abstract

Each country has its own currency that is used as a tool of exchange rate valid in the transaction process. In the process of transaction between countries often experience problems in terms of payment because of the difference in the value of money prevailing in each country. The price movement of the exchange rate or the value of foreign currencies that fluctuate from time to time it encouraged predictions of the value of the rupiah exchange rate against the U.S. dollar. Wavelet Neural Network (WNN) is a combination of methods between wavelet transforms and Neural networks. WNN modeling begins with wavelet decomposition resulting in wavelet coefficients and scale coefficients. Selection of inputs is based on PACF plots and divides into training data and testing data. To determine the final output by calculating the value of MAPE in data testing. The best architecture on WNN model for prediction of the value of the rupiah exchange rate against the U.S. dollar is a model with sigmoid logistic activation function, 2 neurons in the input layer, 10 neurons in the hidden layer, and 1 neuron in the output layer. The MAPE value is obtained at 0.2221%.

 

 

Keywords: maximal overlap discrete transform (MODWT), neural network wavelet, prediction, exchange rates

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