Analyzing volatility of rice price in Indonesia using ARCH/GARCH model
This research aims to to analyze and to study the implication of the volatility of deflated retail price of rice in out of Java which are represented by three markets in Indonesia, namely Medan, Makassar, and Banjarmasin. The period of observation is from January 1984 to August 2011. The better mode...
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| Format: | Article |
| Language: | English |
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Universitas Islam Indonesia
2014-04-01
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| Series: | Economic Journal of Emerging Markets |
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| Online Access: | https://journal.uii.ac.id/JEP/article/view/3861 |
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| _version_ | 1849340884589477888 |
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| author | Ahmad Muslim |
| author_facet | Ahmad Muslim |
| author_sort | Ahmad Muslim |
| collection | DOAJ |
| description | This research aims to to analyze and to study the implication of the volatility of deflated retail price of rice in out of Java which are represented by three markets in Indonesia, namely Medan, Makassar, and Banjarmasin. The period of observation is from January 1984 to August 2011. The better model in this study is Generalized Autoregressive Conditional Heteroskedasticity (GARCH). The result of the study shows that the change of rice price in all three markets was caused mainly by seasons and yearly routine cycles. In addition, at the reformation era and at economic crisis, the rice prices were more volatile. |
| format | Article |
| id | doaj-art-ecaff5e93c3446cdace35aba622c97ce |
| institution | Kabale University |
| issn | 2086-3128 2502-180X |
| language | English |
| publishDate | 2014-04-01 |
| publisher | Universitas Islam Indonesia |
| record_format | Article |
| series | Economic Journal of Emerging Markets |
| spelling | doaj-art-ecaff5e93c3446cdace35aba622c97ce2025-08-20T03:43:46ZengUniversitas Islam IndonesiaEconomic Journal of Emerging Markets2086-31282502-180X2014-04-0161Analyzing volatility of rice price in Indonesia using ARCH/GARCH modelAhmad Muslim0Faculty of Economics, University of Al Azhar Indonesia, JakartaThis research aims to to analyze and to study the implication of the volatility of deflated retail price of rice in out of Java which are represented by three markets in Indonesia, namely Medan, Makassar, and Banjarmasin. The period of observation is from January 1984 to August 2011. The better model in this study is Generalized Autoregressive Conditional Heteroskedasticity (GARCH). The result of the study shows that the change of rice price in all three markets was caused mainly by seasons and yearly routine cycles. In addition, at the reformation era and at economic crisis, the rice prices were more volatile.https://journal.uii.ac.id/JEP/article/view/3861volatilityretailGARCHreformationcrisis |
| spellingShingle | Ahmad Muslim Analyzing volatility of rice price in Indonesia using ARCH/GARCH model Economic Journal of Emerging Markets volatility retail GARCH reformation crisis |
| title | Analyzing volatility of rice price in Indonesia using ARCH/GARCH model |
| title_full | Analyzing volatility of rice price in Indonesia using ARCH/GARCH model |
| title_fullStr | Analyzing volatility of rice price in Indonesia using ARCH/GARCH model |
| title_full_unstemmed | Analyzing volatility of rice price in Indonesia using ARCH/GARCH model |
| title_short | Analyzing volatility of rice price in Indonesia using ARCH/GARCH model |
| title_sort | analyzing volatility of rice price in indonesia using arch garch model |
| topic | volatility retail GARCH reformation crisis |
| url | https://journal.uii.ac.id/JEP/article/view/3861 |
| work_keys_str_mv | AT ahmadmuslim analyzingvolatilityofricepriceinindonesiausingarchgarchmodel |