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Journal : AGRISE

ANALISIS VOLATILITAS HARGA, TRANSMISI HARGA, DAN VOLATILITY SPILLOVER PADA PASAR DUNIA CRUDE PALM OIL (CPO) DENGAN PASAR MINYAK GORENG DI INDONESIA Yuliana Bakari; Ratya Anindita; Syafrial Syafrial
Agricultural Socio-Economics Journal Vol 13, No 3 (2013)
Publisher : Socio-Economics/Agribusiness Department

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (252.833 KB)

Abstract

Unpredictable supply and demand dapat menyebabkan unpredictable price sehingga dapat menyebabkan kecenderungan terjadinya volatilitas harga. Demikian halnya unpredictable supply and demand juga terjadi pada pasar minyak goreng di Indonesia dan pasar dunia Crude Palm Oil (CPO). Di sisi lain, adanya globalisasi dan liberalisasi perdagangan menunjukkan kemungkinan besar terjadinya transmisi harga dan volatility spillover. Sehingga penelitian ini bertujuan untuk menganalisis volatilitas harga pada masing-masing pasar, transmisi harga antara kedua pasar tersebut, serta spillover volatility yang terjadi. Metode yang digunakan adalah kointegrasi engel, ARCH/GARH, dan GARCH-BEKK. Meskipun terjadi transmisi harga dan volatilitas spillover pada kedua pasar tersebut, hasil penelitian volatilitas pada masing-masing harga yaitu pada pasar minyak goreng di Indonesia dan pasar dunia Crude Palm Oil (CPO) menunjukkan bahwa harga bersifat low volatility.   Kata kunci: Transmisi harga, Volatilitas, Volatility spillover, ARCH/GARCH
PRICE VOLATILITY ANALYZE IN EARLY PANDEMIC COVID 19 OUTBREAKS: CASE STUDY IN GORONTALO PROVINCE SHALLOT MARKET Yuliana Bakari
Agricultural Socio-Economics Journal Vol. 23 No. 1 (2023): JANUARY
Publisher : Socio-Economics/Agribusiness Department

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21776/ub.agrise.2023.023.1.9

Abstract

The Covid-19 pandemic in early 2020 led to unpredictable price fluctuation in agricultural commodities such as Shallots. The purpose of this research was to analyze the price fluctuation behavior of shallots in Gorontalo Province during the Covid-19 Pandemic and the price volatility surge as well as the effect of the pandemic during 2020. This study used data from The National Food Strategy Information Center in the form of weekly price in time-series from January 2018 to December 2020. The data analysis on price volatility was conducted using the Auto-Regressive Conditional Heteroscedastic and Generalized Auto-Regressive Conditional Heteroscedastic (ARCH / GARCH) Models. The results show that shallot price behavior randomly fluctuates every year, is more unpredictable, and has significant fluctuation over 2020. The ARCH / GARCH models prove that Pandemic Covid-19 in 2020 triggered the unpredictable price fluctuation and led to price volatility of shallots commodity in Gorontalo Province.