Indonesia Conference Directory

The currency exchange rate is one of the macroeconomic components that have a distinctive characteristic of fluctuation and heteroskedasticity pattern. When referring to the historical data from 2008 to 2017, Indonesia rupiah has been depreciated toward US dollar as much as 44,59% were during that time it was consists of high fluctuation periods especially between 2008-2009 and 2014-2016 but also interspersed by a relatively stable period during 2010-2013. Consequently, research to find the forecasting model that can fit with exchange rate distinctive characteristic is critical. This research will focus on the projection performance comparison of ARIMA-GARCH classical time series method and Backpropagation Artificial Neural Network (BP-ANN) method for rupiah to the US dollar exchange rate. From Mean Squared Error (MSE) and accuracy level measurement, BP-ANN shows a better performance compared to ARIMA GARCH, while it also can be concluded if the forecasting performance of both models is decreasing along with the projection time duration.