Analysis Forecasting of Gasoline Prices in Some ASEAN Countries by Using State Space Representation on Vector Autoregressive Model

Abstract

Research on the price of gasoline has become a topic of research that has been carried out by many researchers. The topic is interesting because the price of gasoline has a relationship with many aspects of people's lives. This study aims to examine the relationship pattern of gasoline prices in several ASEAN countries: Indonesia, Malaysia, and Vietnam, and to make gasoline price forecasting in these three countries for the next 12 months. This study uses a multivariate time series approach; first, the best vector autoregressive (VAR(p)) model will be built based on Akaike's Information Criterion (AIC). Based on the best VAR(p) model, granger-causality analysis is discussed, and for forecasting gasoline prices, a state space model will be developed based on the best VAR(p). State vectors are built based on canonical correlation analysis. Based on the results of granger causality analysis, gasoline prices in Indonesia are affected by past gasoline prices in Vietnam; gasoline prices in Malaysia are affected by past gasoline prices in Indonesia and Vietnam. The results of forecasting analysis for the next 12 months using the state space model show that gasoline prices in Indonesia for the next 12 months tend to have a downward trend; gasoline prices in Malaysia for the next 12 months tend to have an upward trend; and the price of gasoline in Vietnam for the next 12 months tends to have an upward trend for the first 6 months and then has a downward trend for the next 6 months.