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

Journal of Management and Entrepreneurship

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Title GARCH-Type Models on the Volatility of Indonesian Cocoa’s Spot Price Returns
 
Creator Hatane, Saarce Elsye
 
Subject —
volatility, GARCH, cocoa, residual, spot price
 
Description 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.
 
Publisher Institute of Research and Community Outreach - Petra Christian University
 
Contributor —
 
Date 2012-02-07
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
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Format application/pdf
 
Identifier http://jurnalmanajemen.petra.ac.id/index.php/man/article/view/18328
10.9744/jmk.13.2.117-123
 
Source Jurnal Manajemen dan Kewirausahaan (Journal of Management and Entrepreneurship); Vol 13, No 2 (2011): SEPTEMBER 2011; 117-123
1411-1438
 
Language eng
 
Relation http://jurnalmanajemen.petra.ac.id/index.php/man/article/view/18328/18173
 
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