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All Journal Journal of Economic, Bussines and Accounting (COSTING) Sebatik EQIEN - JURNAL EKONOMI DAN BISNIS Management Studies and Entrepreneurship Journal (MSEJ) JURPIKAT (Jurnal Pengabdian Kepada Masyarakat) Jurnal Ilmiah Manajemen dan Ilmu Sosial : Co-Management Nomico
Eki Dudi Darmawan
Administrasi Keuangan, Politeknik Piksi Ganesha
Computer Science & IT Decision Sciences, Operations Research & Management Dentistry Economics, Econometrics & Finance Education Law, Crime, Criminology & Criminal Justice Public Health Social Sciences

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Journal : Nomico

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The Impact of Environmental Externalities on Commodity Price Stability: GARCH (Generalized Autoregressive Conditional Heteroskedasticity) Volatility Analysis Eki Dudi Darmawan
Nomico Vol. 2 No. 11 (2025): Nomico-December
Publisher : PT. Anagata Sembagi Education

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.62872/2ccmsh89

Abstract

Crude oil is a highly strategic global commodity whose price is extremely sensitive to external dynamics and economic shocks. This study aims to analyze the effect of environmental externalities on crude oil price volatility by applying the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model. Secondary data consisting of daily West Texas Intermediate (WTI) crude oil prices from January 2015 to December 2024 were examined using the ADF test, ARCH–LM test, model selection based on AIC and BIC, and parameter estimation of GARCH(1,1). The results indicate that environmental externalities have a positive and significant effect on crude oil price volatility, as evidenced by the γ coefficient of 0.227 and the α + β value of 0.905, demonstrating long-term volatility persistence. These findings show that crude oil price stability is determined not only by traditional supply and demand factors but also by global environmental regulations, emission policies, and energy transition dynamics. This study provides empirical contributions to energy economics research and practical insights for policymakers in developing energy security strategies that are adaptive to the sensitivity of global commodity prices.  
Co-Authors Akmala Hadita Berto Pilipus Manihuruk Doni Fajriansyah Rusmana Gunardi . Jaka Sudewa Ratna H, Yunyun Ridwan Muhammad Fauzi Veranita, Mira Yuda Syahidin YUSUF, RAMAYANI