Open AccessVolatility Analysis and Volatility Spillover Analysis of Indonesia's Coffee Price Using Arch/Garch, and Egarch Model
Author(s) -
Meinar Fithria Rahayu,
Wen-I Chang,
Ratya Anindita
Publication year - 2015
Publication title -
journal of agricultural studies
Language(s) - English
Resource type - Journals
ISSN - 2166-0379
DOI - 10.5296/jas.v3i2.7185
Subject(s) - autoregressive conditional heteroskedasticity , volatility (finance) , economics , econometrics , spillover effect , arch , conditional variance , forward volatility , volatility smile , financial economics , volatility swap , implied volatility , macroeconomics , geography , archaeology
This study aims to analyze the best model to expect volatility of Indonesia’s coffee price using ARCH/GARCH model and to measure the coffee price volatility spillover of International market for Indonesia’s coffee price using EGARCH model. These models use different conditional variance specifications to catch up the asymmetry. The empirical results show that GARCH (1.1) model seems to better describe the Indonesia’s coffee price volatility. From the EGARCH analysis known that International coffee price has an asymmetric effect on Indonesia’s return coffee price and indicate that domestic coffee market is not efficient.