Forecasting the Export Value of ASEAN Goods using the ARIMA–GARCH Hybrid Model

This study aims to forecast the export value of ASEAN goods amid ongoing global economic and trade fluctuations. It utilizes monthly time series data on ASEAN’s export values from January 2015 to October 2024. To perform the forecast, the study applies the ARIMA(1,1,1) model to capture the linear patterns in the data, combined with the GARCH(1,1) model to address time-varying variance (heteroskedasticity). The results indicate that the combined ARIMA–GARCH model provides higher forecasting accuracy than individual models and effectively captures both the trend and volatility of export values during the study period.