Aplikasi Model GARCH pada Data Inflasi Bahan Makanan Indonesia Periode 2005.1-2010.6  

Oleh:

Santoso, Teguh ; Basuki, Maruto Umar

Jenis: Article from Journal - ilmiah nasional
Dalam koleksi: Jurnal Organisasi dan Manajemen vol. 7 no. 1 (Mar. 2011), page 38-52.
Topik: ARCH/GARCH models; food price inflation

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ153.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

In econometric time series analysis, data which have high volatility would be very risky to be used as a basis for forecasting, including the volatility of food prices in Indonesia. Time series data have a tendency to have a constant confounding error variance over time. Appropriate econometric model to estimate such behavior is called the Auto-regressive Conditional Heteroscedasticity (ARCH) model and the Generalized Auto-regressive Conditional Heteroscedasticity (GARCH) model. This paper attempts to use ARCH/GARCH models to explain the behavior of food price inflation in Indonesia in time period of 2005.1 to 2010.6. It is explained that by incorporating elements of ARCH/GARCH, better estimates will be achieved.

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