PERBANDINGAN MODEL ARIMA DENGAN MODEL NONPARAMETRIK POLINOMIAL LOKAL DAN SPLINE TRUNCATED UNTUK PERAMALAN HARGA MINYAK MENTAH WEST TEXAS INTERMEDIATE (WTI) DILENGKAPI GUI R

Abstract

Crude oil as one of the most important natural resources experiences price fluctuations from time to time, even the spot price of West Texas Intermediate (WTI) world crude oil on 20th April 2020 reached -36,98 USD/barrel due to the Covid-19 pandemic. WTI oil price data was modeled using the ARIMA method, local polynomial, and spline truncated nonparametric regression then compared and obtained the best model and formed R Graphical User Interface (GUI). The ARIMA model and nonparametric time series models can be used to model time series data, but in the ARIMA model there are assumptions that must be fulfilled. Nonparametric time series models, which include local polynomial model and truncated spline do not need to fulfill these assumptions. The ARIMA model obtained did not fulfilled the assumptions of normality and residual homoscedasticity, so the modeling was stopped and modeling was only carried out using nonparametric regression methods. Based on the minimum MSE criteria, the best nonparametric model was obtained, namely nonparametric truncated spline model with degrees 3 and 3 knot points which was categorized as a strong model based on R-squared in sample value and having a very good forecasting ability based on MAPE out sample value.