CHINESE YUAN EXCHANGE RATE AGAINST THE INDONESIAN RUPIAH PREDICTION USING SUPPORT VECTOR REGRESSION

  • Steven Soewignjo Department of Mathematics, Faculty of Science and Technology, Universitas Airlangga, Indonesia
  • Ni Wayan Widya Septia Sari Department of Mathematics, Faculty of Science and Technology, Universitas Airlangga, Indonesia
  • Andini Putri Mediani Department of Mathematics, Faculty of Science and Technology, Universitas Airlangga, Indonesia
  • M. Aqil Zaidan Kamil Department of Mathematics, Faculty of Science and Technology, Universitas Airlangga, Indonesia
  • Dita Amelia Department of Mathematics, Faculty of Science and Technology, Universitas Airlangga, Indonesia https://orcid.org/0000-0002-2387-9981
  • Nur Chamidah Department of Mathematics, Faculty of Science and Technology, Universitas Airlangga, Indonesia https://orcid.org/0000-0003-1592-4671
DOI: https://doi.org/10.30598/barekengvol18iss3pp1683-1694
Keywords: Support Vector Regression, Yuan, Prediction, Rupiah, Currency

Abstract

This study aims to forecast the exchange rate between the Chinese Yuan (CNY) and the Indonesian Rupiah (IDR) using Support Vector Regression (SVR), a machine-learning technique that can handle nonlinear and complex data. The authors utilize the monthly selling exchange rate of CNY against IDR from January 2012 to October 2023 sourced from the “investing” platform. The optimal SVR model is obtained by splitting the data into 113 training samples and 28 testing samples and using the Radial Basis Function (RBF) kernel. The model achieves high accuracy, with a Mean Absolute Percentage Error (MAPE) of 1.738%, a Root Mean Squared Error (RMSE) of 50.661 for the training data and a MAPE of 2.516%, and an RMSE of 64.735 for the testing data. The results of this paper can provide valuable insights for policymakers, investors, and traders who are interested in the CNY/IDR exchange rate dynamics and the economic implications of the Belt and Road Initiative (BRI). The study aligns with the Sustainable Development Goals (SDGs), specifically SDG 8, aiming to promote sustained, inclusive, and sustainable economic growth.

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Published
2024-08-02
How to Cite
[1]
S. Soewignjo, N. W. Septia Sari, A. Mediani, M. A. Kamil, D. Amelia, and N. Chamidah, “CHINESE YUAN EXCHANGE RATE AGAINST THE INDONESIAN RUPIAH PREDICTION USING SUPPORT VECTOR REGRESSION”, BAREKENG: J. Math. & App., vol. 18, no. 3, pp. 1683-1694, Aug. 2024.
Issue
Vol 18 No 3 (2024): BAREKENG: Journal of Mathematics and Its Application
Section
Articles

Copyright (c) 2024 Steven Soewignjo, Ni Wayan Widya Septia Sari, Andini Putri Mediani, M. Aqil Zaidan Kamil, Dita Amelia, Nur Chamidah

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