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

Hatane, Saarce Elsye (2012) The Predictability of GARCH-Type Models on the Returns Volatility of Primary Indonesian Exported Agricultural Commodities. Jurnal Akuntansi dan Keuangan, 2 (13). p. 87. ISSN 1411-0288

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    Abstract

    Agricultural sector plays an important role in Indonesia’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 Pepper and Black Pepper. Meanwhile, the returns volatility nature of agricultural commodity is famous. The volatility refers to heteroscedasticity nature 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 statistics. The results find that the predictability of ARCH, GARCH, GARCH-M, EGACRH and TGARCH, as type of GARCH models used in this study, are different for each commodity.

    Item Type: Article
    Uncontrolled Keywords: ARCH, GARCH, GARCH-M, EGACRH, TGARCH, returns volatility, residuals, agricultural commodity.
    Subjects: H Social Sciences > HF Commerce > HF5601 Accounting
    Divisions: Faculty of Economic > Accounting Department
    Depositing User: Admin
    Date Deposited: 17 Oct 2012 23:45
    Last Modified: 17 Oct 2012 23:45
    URI: http://repository.petra.ac.id/id/eprint/16055

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