The Predictability of GARCH-Type Models on the Returns Volatility of Primary Indonesian Exported Agricultural Commodities  

Oleh:

Hatane, Saarce Elsye

Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI
Dalam koleksi: Jurnal Akuntansi dan Keuangan vol. 13 no. 2 (Nov. 2011), page 87-97.
Topik: ARCH; GARCH; GARCH-M; EGARCH; TGARCH; Return Volatility; Residuals; Agricultural Commodity
Fulltext: 18237-21064-1-PB_Pas.pdf (383.59KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ98 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Agricultural sectors plays an important role in Indonesian's economy; especially for the plantation sub-sector contributing high revenues to Indonesia's exporting sectors. The primary agricultural commodities in Indonesian export discussed in this study would be Crude Palm Oil (CPO), Natural Rubber TSR20, Arabica Coffee, Robusta Coffee, Cocoa, White Paper and Black Paper. Meanwhile, the returns volatility nature of agricultural commodity is famous. The volatility refers to heteroscedasticity of the returns which can be modeled by GARCH-type models. The returns volatility can be describe by the residual of the mean equation and volatility of error variances in the previous periods. The aims of this study are to examine the predictability of GARCH-type models on the returns volatility of those seven agricultural commodities and to determine the best GARCH-type models for each commodity based on the traditional symmetric evaluation statistic. The result find that the predictability of ARCH, GARCH, GARCH-M, EGARCH and TGARCH, as type of GARCH models used in this study, are different for each commodity.

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