Analisis Volatilitas Harga Kopi Internasional  

Oleh:

Firmansyah

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI
Dalam koleksi: Manajemen Usahawan Indonesia vol. XXXV no. 07 (2006), page 44-53.
Topik: KOPI; International coffee prices; volatility; GARCH; TARCH; EGARCH

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: MM15.26 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This study utilized three univariate ARCH-type to empirically examine persistence and asymmetry in volatility of prices of international coffee produced in Indonesia, i.e. Robusta and Arabica Other Milds. The third objective ofthis study is to analyze the influence of frost season in Brazil toward international coffee prices. By conducting GARCH, TARCH and EGARCH models, this study has demonstrated empirically that time varying volatility appears to exist but leverage effect do not exist in volatility of prices of international coffee movement. At any models, frost season in Brazil since June to August as a cause of its coffee production fall is empirically significance influence international coffee prices and the volatility.

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