Application of SARIMA, GRU, and Prophet for Capturing Seasonal Patterns in Consumer Price Inflation
DOI:
https://doi.org/10.30871/jaic.v10i1.11802Keywords:
CPI, GRU, Prophet, SARIMA, Seasonality, Sliding windowAbstract
Seasonal dynamics make inflation forecasting challenging in emerging economies where holiday effects, regulated prices, and supply shocks interact. This study models Indonesia’s monthly consumer price inflation (CPI) using official data from Statistics Indonesia (May 2006–April 2025) and evaluates three forecasting paradigms: a classical seasonal baseline (SARIMA), a decomposable model with trend–seasonality components (Prophet), and a neural sequence learner (GRU). A 10-fold sliding window design is employed to preserve temporal order. Performance is assessed with RMSE, MAE, and MASE, summarized across folds with boxplots and statistical descriptives (means, standard deviations, and 95% confidence intervals). Across folds and metrics, Prophet consistently achieves the lowest error and the tightest dispersion, GRU ranks second with competitive accuracy and stable variance, and SARIMA remains a transparent yet weaker benchmark. MASE values below one for Prophet (and generally for GRU) indicate improvements over a naïve baseline. Practically, Prophet’s decompositions support policy communication by linking forecast movements to interpretable components (e.g., Ramadan/Eid and year-end effects), while GRU is useful during more nonlinear or volatile periods; SARIMA remains valuable for diagnostics in stable regimes.
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