Article Per Year (5 Year)
p-Index From 2021 - 2026
0.23
P-Index
This Author published in this journals
All Journal Journal of Business and Political Economy: Biannual Review of The Indonesian Economy Review
Kartawinata, Matthew
Unknown Affiliation
Economics, Econometrics & Finance Social Sciences

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

Found 1 Documents
Search

 1 
Applied Big Data Driven Study on Shock Absorption and Tolerance Bands of Staple Food Commodities Price Volatility in East Java Herawan, Jonathan; Aviliani, Avi; Kartawinata, Matthew
Journal of Business and Political Economy : Biannual Review of The Indonesian Economy Vol. 7 No. 2 (2025): Journal of Business and Political Economy: Biannual Review of The Indonesian Ec
Publisher : INDEF - Institute for Development of Economics and Finance

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46851/248

Abstract

This study investigates the day-to-day volatility dynamics of five staple food commodities in East Java which are Red Bird’s Eye Chili Pepper, Medium Rice, Bendera Powdered Milk, Free-Range Chicken Meat, and Commercial Chicken Eggs. By utilizing daily price data from January 1, 2021, to February 2, 2025, collected via big-data scraping of a government price monitoring website. A GARCH model with Student-t innovations is fitted to each return series, from which one-day 95% Value-at-Risk (VaR) thresholds are derived to establish an evidence-based "tolerance band" for policy intervention. The results show that Red Bird’s Eye Chili Pepper has the widest band, with an allowable daily drop of 2.5% and a rise of 10.14%, whereas Bendera Powdered Milk exhibits the narrowest range. All five series display extreme volatility persistence coefficients are near or above 1, but a critical finding is that the markets for Medium Rice and Free-Range Chicken Meat are not shock absorbent, with persistence values exceeding 1. This indicates that any market disruption has a permanent effect on their future volatility, pointing to deep structural inefficiencies. These empirically derived VaR-based guardrails provide a quantitative framework for timely market stabilization, while the persistence analysis highlights the need for long-term structural reforms, particularly for the rice and chicken sectors. Keywords: food price volatility; GARCH;  value-at-risk; big data. JEL: C54, Q11, Q1
Co-Authors Aviliani, Avi Herawan, Jonathan