Volatility Analysis and Volatility Spillover Analysis of Indonesia's Coffee Price Using Arch/Garch, and Egarch Model

Abstract

This study aims to analyze the best model to expect volatility of Indonesia’s coffee price using ARCH/GARCH model and to measure the coffee price volatility spillover of International market for Indonesia’s coffee price using EGARCH model. These models use different conditional variance specifications to catch up the asymmetry. The empirical results show that GARCH (1.1) model seems to better describe the Indonesia’s coffee price volatility. From the EGARCH analysis known that International coffee price has an asymmetric effect on Indonesia’s return coffee price and indicate that domestic coffee market is not efficient.