Analysis of The Profitability of Islamic Banking Using Arimax Model and Regression with Arima Errors Model

Authors(3) :-Sri Aryani, Muhammad Nur Aidi, Utami Dyah Syafitri

Profitability of Islamic banking is a benchmark for the performance of Islamic bank. Indicators for measuring the profitability of Islamic banking is ROA. There are several predictor variables involved that affect the profitability of Islamic banking, namely interest rates, exchange rates and inflation. This research was aimed to predict the effect of predictor variables on Islamic bank profitability using two approaches namely ARIMAX and ARIMA errors. Both model approaches are conceptually the combination between the regression model and ARIMA model. The best model of the two approaches will be compared by considering the MAPE value. The best model is reflected by the smallest SBC value, significant parameter estimator, and the smallest MAPE value. As a result, the approach model of ARIMA (1, 1, 1) error with variable of exchange rate was found to be the best model with MAPE value of 32.013%, while the model of ARIMAX (0, 1, 2) with exchange rate variable obtained MAPE value of 375.78%. Thus, the best model to predict the effect of predictor factor on Islamic banking profitability was ARIMAX model (0,1,2) with exchange rate variable.

Authors and Affiliations

Sri Aryani
Currently Pursuing Master Degree at Department of Statistics, Bogor Agricultural University, Bogor, West Java, Indonesia
Muhammad Nur Aidi
Lecturer at Department of Statistics, Bogor Agricultural University, Bogor, West Java, Indonesia
Utami Dyah Syafitri
Lecturer at Department of Statistics, Bogor Agricultural University, Bogor, West Java, Indonesia

ARIMAX, ARIMA errors, Predictor, Profitability, ROA

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Publication Details

Published in : Volume 4 | Issue 4 | March-April 2018
Date of Publication : 2018-05-30
License:  This work is licensed under a Creative Commons Attribution 4.0 International License.
Page(s) : 49-53
Manuscript Number : IJSRSET1844509
Publisher : Technoscience Academy

Print ISSN : 2395-1990, Online ISSN : 2394-4099

Cite This Article :

Sri Aryani, Muhammad Nur Aidi, Utami Dyah Syafitri, " Analysis of The Profitability of Islamic Banking Using Arimax Model and Regression with Arima Errors Model, International Journal of Scientific Research in Science, Engineering and Technology(IJSRSET), Print ISSN : 2395-1990, Online ISSN : 2394-4099, Volume 4, Issue 4, pp.49-53, March-April.2018
URL : http://ijsrset.com/IJSRSET1844509

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