Comparison of the VAR and ARIMA model for inflation prediction in Algeria

Abstract

This study aims to predict the inflation index in Algeria during the period from 2021 to 2023 by using statistical data from 1980 to 2021, in  addition to macroeconomic indicators for the standard study, which are economic growth, unemployment and the balance of payments. And by using two different models, the vector autoregressive VAR model and the autoregressive and moving average model ARMA, and  to achieve the goal for which the   prediction process was made, the predictive values of both models were evaluated based on the    statistical criteria MAPE, RMSE and MAE to compare between the two models through the values of Errors and prediction accuracy, where  the ARIMA model (1,1,4) proved superior to the VAR model.