Warsono, Warsono and Kurniasari, Dian and Lestari, Dyah Aring Hepiana and wahyudi, heru and Alhani, Mawar and Su'admaji, Arif and Maulana, Muhtarom Ahkam (2025) Forecasting of Multivariate Time Series Data of Export and Import Volumes of Coffee Using the Vector Autoregressive (VAR) - Long Short-Term Memory (LSTM) Hybrid Model. In: Proceedings of the 5th International Conference on Applied Sciences, Mathematics, and Informatics (ICASMI 2024).

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Abstract

The primary objective of this study is to develop a hybrid forecasting model that integrates the Vector Autoregressive (VAR) model with Long Short-Term Memory (LSTM) networks to predict multivariate time series data on coffee export and import volumes. The VAR-LSTM hybrid model represents an advanced methodological approach that combines the strengths of both techniques: the VAR model’s ability to capture linear interdependencies and the LSTM network’s proficiency in modeling complex non-linear patterns. By integrating these models, this study leverages their complementary advantages to enhance forecasting accuracy for multivariate time series data. This hybrid approach is particularly beneficial as it addresses both linear and non-linear dependencies within the dataset. The results indicate that the VAR-LSTM model effectively replicates the observed data patterns, demonstrating strong predictive performance. The graphical analysis provides compelling evidence of the model’s consistency and accuracy, with a Mean Absolute Percentage Error (MAPE) of 0.41% (corresponding to an accuracy of 99.59%) for the predicted data. In comparison, the classical VAR model achieved a MAPE of 0.54% (accuracy of 99.46%). These findings highlight the reliability and accuracy of the VAR-LSTM hybrid model in improving forecasting precision for multivariate time series data.

Item Type:	Conference or Workshop Item (Other)
Subjects:	Q Science > QA Mathematics > QA76 Computer software S Agriculture > S Agriculture (General)
Divisions:	Fakultas Keguruan dan Ilmu Pendidikan (FKIP) > Prodi Pendidikan Matematika
Depositing User:	DYAH ARING
Date Deposited:	26 Nov 2025 09:30
Last Modified:	26 Nov 2025 09:30
URI:	http://repository.lppm.unila.ac.id/id/eprint/54752

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