Intelligent Hybrid ARIMA-NARNET Time Series Model to Forecast Coconut Price

Abstract

The global demand for coconut and coconut-based products has increased rapidly over the past decades. Coconut price continues to fluctuate; thus, it is not easy to make predictions. Good price modelling is important to accurately predict the future coconut price. Several studies have been conducted to predict the price of coconut using various models. One of the most important and widely used models in time series forecasting is the autoregressive integrated moving average (ARIMA). However, price fluctuations is considered a problem with uncertain behaviour. The existing ARIMA time series model is unsuitable for solving this problem, because of the nonlinear series. Artificial neural networks (ANN) have been an effective method in solving nonlinear data pattern problems in the last two decades. The non-linear autoregressive neural network (NARNET) gives good forecast, most especially when series are non-linear. Therefore ARIMA- NARNET is considered a universal approach to forecasting the coconut price. The aim of the study is to establish a linear and nonlinear model in time series to forecast coconut prices. The ability of a hybrid approach that combines ARIMA and NARNET(ANN) models is investigated. Based on the experimental study, the experimental results show that the proposed method ARIMA- NARNET, is better at forecasting the price of coconut, an agriculture commodity, than both the ARIMA model and NARNET models. The expected benefit of the proposed forecasting model is it can help farmers, exporters, and the government to maximize profits in the future.