Analysis volatility beef price using arma, arch/garch, tgarch and egarch  

Oleh:

Effendi, Kharisya Ayu ; Prihatmodjo, Deddy

Jenis: Article from Proceeding
Dalam koleksi: SIBR-Thammasat 2014 Conference on Interdisciplinary Business & Economics Research June 5th- 7th, 2014 di Emerald Hotel Bangkok, page 1-2.
Topik: Beef Price Volatility; ARMA; ARCH/GARCH; TGARCH; EGARCH
Fulltext: b14-181.pdf (36.06KB)

Isi artikel

Beef Price Volatility, ARMA, ARCH/GARCH, TGARCH, EGARCH This research looking for the best model in analyzing volatility and returns the price of beef in Indonesia. Analysis of volatility and return is the most important aspect in the financial sector or sectors komuditi. Modeling in this study using the Autoregressive and Moving Average(ARMA),Autoregressive Conditional Heteroskedastisity/ General Autoregressive Conditional Heteroskedastisity (ARCH/GARCH), ThresholdGeneral Autoregressive Conditional Heteroskedastisity (TGARCH) and Exponential General Autoregressive Conditional Heteroskedastisity (EGARCH). By using daily time series data from September 2010 until December 2013 as many as 585 data. From the data obtained the best model is EGARCH (1,1). The best models in view of the Akaike Info Criterion (AIC) and Schwarz Criterion (SIC), the AIC of -8.530908 and SIC -8.502600. This study examines in the Indonesian beef price volatility is the first time, a similar study on nine essential commodities price is Kumara Jati about Volatiliti Sugar Price. Contributions to help other researchers reference to examine the volatility of the price of beef to find the best model, see the lack of research on this subject.

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