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

Hatane, Saarce Elsye (2012) GARCH-Type Models on the Volatility of Indonesian Cocoa’s Spot Price Returns. Jurnal Manajemen dan Kewirausahaan, 13 (2). pp. 117-123. ISSN 1411-1438

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    Abstract

    Since Indonesia is one of the largest cocoa producers in the world, cocoa has important role in Indonesian foreign exchange revenues through export. Meanwhile, as part of plantation commodity, cocoa’s price also has volatility nature. The ability of GARCH-type models in measure price volatility has been famous. These models have been applied properly for analyzing prices which demonstrate time varying level of variance. 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 based on the error statistic criterions, RMSE, MAPE and MAE

    Item Type: Article
    Uncontrolled Keywords: Volatility, GARCH-type Models, Cocoa, Residual, and Spot Price
    Subjects: H Social Sciences > HF Commerce > HF5601 Accounting
    Divisions: Faculty of Economic > Accounting Department
    Depositing User: Admin
    Date Deposited: 17 Oct 2012 23:38
    Last Modified: 17 Oct 2012 23:38
    URI: http://repository.petra.ac.id/id/eprint/16054

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