Articles

Found 1 Documents
Search
Journal : Jurnal Akuntansi dan Keuangan

THE PREDICTABILITY OF GARCH-TYPE MODELS ON THE RETURNS VOLATILITY OF PRIMARY INDONESIAN EXPORTED AGRICULTURAL COMMODITIES Hatane, Saarce Elsye
Jurnal Akuntansi dan Keuangan Vol 13, No 2 (2011): NOVEMBER 2011
Publisher : Institute of Research and Community Outreach - Petra Christian University

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (2389.041 KB) | DOI: 10.9744/jak.13.2.87-97

Abstract

Agricultural sector plays an important role in Indonesia?s economy; especially for the plantation sub-sector contributing high revenues to Indonesia?sexporting 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.
Co-Authors Aditya Ferryanto, Aditya Aggrean, Cynthia Alvionita Stifanny Selan, Alvionita Stifanny Amanda Wijaya Anthony, Aloysius Richard Benu, Yohanes Rudolf Christyanto, Shendy Cornelius, Elizabeth Dautrey, Jean Dautrey, Jean-Marc Dewi Rembulan Diah Dharmayanti Eranio Randy, Eranio Febby, Regina Febrina, Livia Ferdian, Gabriele Nia Fifi, Fifi Fifi Fransisca Soetanto, Fransisca Fransisca, Cyndy Funome, Lydia Natalia Gunawan, Felicitas Fanny Hamdani, Yurike Handoyo, Cynthia Priskilla Hartantri, Debora Ratih Hartono, Gabriella Karuniajaya Hatane Semuel Hendrawan, Dio Adi Hervindra, Christoforus Hetharie, Carine Jacqueline Hirawanto, Rafel Romero I, Nadya Gomes Ibrahim, Rina Pricelya Josua Tarigan Kuanda, Elenne Stefanie Laiman, Lisa Layadi, Jordi Lienardi, Abi Kresna Mainake, Mozes Yoshua Bizaliel Mariana, Mariana Mariana Ningrum, Alifia Nugroho, Nathania Ayu Oetomo, Felicia Okhotan, Stifanny Christin Patricia Tanjaya, Patricia Prawira, Handry Adhi Priskila Adiasih Samosir, Todo Tondi Betha Sasmita, David Sastrawati, Waisiyana Setiadi, Kevin Setiawan, Fannie Felita Setyono, Vanesha Gladys Shalim, Ricky Wijaya Silvia Rostianingsih Sindhu, Liliana Megawati Sirapanji Olivia Stephanie Cynthia Djuali, Stephanie Cynthia Stephanie Yunita Nathania, Stephanie Yunita Susanna, Susanna Susanna Teguh, Irene Melina Tungabdi, Yuliana Ung, Joanna Edrea Widiharta, Arie Widyatama, Jevilia Wijaya, Dikky Wijaya, Joanna Elizabeth Wiyogo, Willy Yemima Yulia, Yemima Yoel, Fabiola Yonathan, Brian Edbert Yoseph, Inriani Yuliana, Yuliana Yuliana Zanderet’s, Christina