Inflation Forecasting using ARIMA and Grey System Models
Abstract
In this study, the inflation rate which is one of the economic variables that economic units notice
is forecasted using ARIMA and Grey System Models in Turkey. The time series used in the
study include 2003: 1-2016: 12 for TUFE and 2006: 1-2016: 12 for UFE. The findings suggest that
the ARIMA model estimated the Consumer Price Index (CPI) with an error of 0.5%, while the
Grey System Model forecasted with an error of 0.8%. In the prediction of Producer Price Index
(PPI), the ARIMA model forecasted with an error of 1.8%, while the Grey System Model
forecasted with an error of 1.1%. According to the results obtained, the Grey System Model is
more successful in estimating the PPI, and the ARIMA model is more successful for the CPI.
Also, both ARIMA and Grey System Model estimates have predicted the CPI better compared
to the PPI.
Keywords
Kaynakça
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