Jurnal Manajemen dan Kewirausahaan
Vol 13, No 2 (2011): SEPTEMBER 2011

GARCH-Type Models on the Volatility of Indonesian Cocoa’s Spot Price Returns

Hatane, Saarce Elsye (Unknown)



Article Info

Publish Date
07 Feb 2012

Abstract

Cocoa plays an important role in generating Indonesian foreign exchange revenues since it is one of Indonesia’s primary commodity exports. Meanwhile, as part of plantation commodity, cocoa’s price also has volatility nature. This study has two aims: to examine the predictability of GARCH-type models (ARCH, GARCH, GARCH-M, EGARCH, and TGARCH) on the cocoa’s returns volatility and to determine the best predictability model among the significant GARCH-type models. Two independent variables used in this study are the residual from the mean equation and volatility of error variances in the previous periods. The prices used are spot price series in periods of January 2005 to June 2011 from BAPPEBTI (Indonesian Commodity Futures Trading Regulatory Agency – CoFTRA). The results show that GARCH-M and EGARCH models are the best prediction models.

Copyrights © 2011






Journal Info

Abbrev

man

Publisher

Subject

Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

Description

Promote studies in management and entrepreneurship, strengthen science knowledge exchange with other institutions. The Jurnal Manajemen dan Kewirausahaan accredited by the Directorate General of Higher Education of Indonesia in June 2008 - June 2011 The Jurnal Manajemen dan Kewirausahaan, ...