Article Per Year (5 Year)
p-Index From 2021 - 2026
0.23
P-Index
This Author published in this journals
All Journal Prosiding Seminar Nasional Official Statistics
Andi Muthiah Rahim
Unknown Affiliation
Humanities Computer Science & IT Economics, Econometrics & Finance Social Sciences

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
Volatility Spillover antara Harga Minyak Mentah Brent dan Minyak Kedelai Andi Muthiah Rahim; Ilyas Ramadhan; Muhamad Fadhlan Hendri; Efriyendi Efriyendi; Aura Mustika Febrina; Fitri Kartiasih
Seminar Nasional Official Statistics Vol 2026 No 1 (2026): Seminar Nasional Official Statistics 2026
Publisher : Politeknik Statistika STIS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.34123/semnasoffstat.v2026i1.2672

Abstract

This study examines the dynamic interconnectedness and risk spillovers between the Brent crude oil and soybean oil markets over the 2007–2024 period using 4,573 daily observations. The Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model is employed to estimate time-varying correlations between the two markets. The Augmented Dickey-Fuller (ADF) test confirms that the return series of both commodities are stationary at the level. The presence of volatility clustering and heteroskedasticity justifies the application of the GARCH framework, while the analysis identifies a significant leverage effect in the Brent crude oil market, where negative shocks generate greater volatility than positive shocks. Dynamic correlations rise sharply during the 2008 Global Financial Crisis and the 2022 Russia–Ukraine conflict, indicating strong risk contagion and reduced portfolio diversification benefits during periods of market stress. These findings highlight the importance of dynamic hedging strategies and coordinated energy– food policies to enhance market stability and global food security.
Co-Authors Aura Mustika Febrina Efriyendi Efriyendi Fitri Kartiasih Ilyas Ramadhan Muhamad Fadhlan Hendri