ANALISIS VOLATILITAS DAN SEGMENTASI REKOMENDASI STRATEGIS HARGA KOMODITAS PANGAN JAWA BARAT DENGAN PEMODELAN EXPONENTIAL GARCH

Firman Emmanuel Declarantius Parulian; Marchadha  Santi Wilda

doi:10.34147/crj.v11i02.412

Authors

Firman Emmanuel Declarantius Parulian Politeknik Statistika STIS
Marchadha Santi Wilda Politeknik Statistika STIS

DOI:

https://doi.org/10.34147/crj.v11i02.412

Keywords:

Food Commodity Prices, Volatility, West Java, Leverage, EGARCH

Abstract

This study aims to model and analyze the price volatility of eight food commodities (rice, cooking oil, shallots, garlic, chicken eggs, chicken meat, bird’s eye chili, and red chili) using time series data from traditional market daily prices obtained from the Bank Indonesia PIHPS for the period of March 30, 2017 to March 17, 2025 (2,086 observations). The ARIMA model is used to model the mean, and the EGARCH model is applied for volatility analysis. The prices of the commodities vary considerably, showing an increasing trend each year, and are stationary at first difference. ARCH testing indicates heteroskedasticity in all commodities except cooking oil; therefore, only seven commodities proceed to the EGARCH model. The conclusion of this study is that the EGARCH model can be applied to the seven food commodities in West Java. The food commodities with the greatest leverage effects are shallots, red chili, and bird’s eye chili. Meanwhile, the commodities with the smallest leverage effects are rice and chicken meat. Policy recommendations are provided based on the segmentation of leverage magnitude for each food commodity in West Java. For commodities with low leverage, it's recommended to strengthen the early warning system. For those with medium leverage, combine the early warning system with market psychological interventions. Meanwhile, for high-leverage commodities, the focus should be on strategic stock management or a buffer stock

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