Academic Journal
GARCH-Type Models on the Volatility of Indonesian Cocoa’s Spot Price Returns
| العنوان: | GARCH-Type Models on the Volatility of Indonesian Cocoa’s Spot Price Returns |
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| المؤلفون: | Saarce Elsye Hatane |
| المصدر: | Jurnal Manajemen dan Wirausaha, Vol 13, Iss 2, Pp 117-123 (2011) |
| بيانات النشر: | Petra Christian University, 2011. |
| سنة النشر: | 2011 |
| المجموعة: | LCC:Business |
| مصطلحات موضوعية: | volatility, GARCH, cocoa, residual, spot price, Business, HF5001-6182 |
| الوصف: | 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. |
| نوع الوثيقة: | article |
| وصف الملف: | electronic resource |
| اللغة: | English Indonesian |
| تدمد: | 1411-1438 |
| Relation: | http://puslit2.petra.ac.id/ejournal/index.php/man/article/view/18328; https://doaj.org/toc/1411-1438 |
| URL الوصول: | https://doaj.org/article/f3dd4ca46ab644a7850fe9bc5dc15aa4 |
| رقم الانضمام: | edsdoj.f3dd4ca46ab644a7850fe9bc5dc15aa4 |
| قاعدة البيانات: | Directory of Open Access Journals |
| تدمد: | 14111438 |
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