APLIKASI MODEL GARCH PADA DATA INFLASI BAHAN MAKANAN INDONESIA PERIODE 2005.1- 2010.6
Keywords: ARCH/GARCH models, food price inflation
Abstract
In econometric time series analysis, data which have high volatility would be very risky to be used as a basis for forecasting, including the volatility of food prices in Indonesia. Time series data have a tendency to have a constant confounding error variance over time. Appropriate econometric model to estimate such behavior is called the Autoregressive Conditional Heteroscedasticity (ARCH) model and the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. This paper attempts to use ARCH/GARCH models to explain the behavior of food price inflation in Indonesia in time period of 2005.1 to 2010.6. It is explained that by incorporating elements of ARCH/GARCH, better estimates will be achieved.
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References
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www.bps.go.id. Data Inflasi Komoditas Bahan Makanan Periode 2005.1-2010.6.
Broto, C. (2008). Inflastion targating in latin Amerika: Empirical analysist using Garch Models. Banco Deespana: Documentos de Trajabo.
Engle, R. F. (1982). Autoregressive conditional heteroskedasticity twith estimates of the variance of United Kingdom Inflation. Econometrica.
Gujarati, D.N. (2003). Asic Econometrics Fourth Edition. USA: McGraw-Hill.
Harahap, P. (2009). Modul Lab III: ARCH /GARCH. Modul Asistensi Ekonometrika MSi: Tidak di publikasikan.
Mishkin S. (2004). The economics of money, banking, and financial markets. (7th ed). The Addyson-Wesley Series in Economics.
Silalahi, TM D. (2009). Pengaruh news terhadap volatilitas nilai tukar (1990:1- 2008:12). Skripsi yang tidak dipublikasikan Fakultas Ekonomika dan Bisnis.
Sumaryanto. (2009). Analisis volatilitas harga eceran beberapa komoditas pangan utama dengan model ARCH/GARCH.
Widarjono, A. (2002). Aplikasi model ARCH kasus Inflasi di Indonesia. Jurnal Ekonomi Pembangunan, Hal. 71-82.
Winarno, WW. (2009). Analisis ekonometrika dan statistika dengan eviews. (2nded). Penerbit UPP STIM YKPN.
www.bi.go.id. Definisi Inflasi.
www.bps.go.id. Data Inflasi Komoditas Bahan Makanan Periode 2005.1-2010.6.
Published
Mar 10, 2011
DOI:
How to Cite
Santoso, T., & Basuki, M. U. (2011). APLIKASI MODEL GARCH PADA DATA INFLASI BAHAN MAKANAN INDONESIA PERIODE 2005.1- 2010.6. Jurnal Organisasi Dan Manajemen, 7(1), 38–52. https://doi.org/10.33830/jom.v7i1.84.2011
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