International Journal of Scientific and Research Publications

IJSRP, Volume 10, Issue 11, November 2020 Edition [ISSN 2250-3153]


COMPARISON OF SYMMETRIC AND ASYMMETRIC GARCH MODELS IN THE FUTURES CONTRACT OF ROBUSTA COFFEE IN JAKARTA FUTURES EXCHANGE
      Puspa Renggani, I Made Sumertajaya, Farit Mochamad Afendi, Retno Budiarti
Abstract: Futures exchange is growing rapidly in various countries and has become one of the supports for the economic development of the country. However, research on investment in this field in Indonesia is limited. This study compares the symmetric and asymmetric GARCH models to investigate the volatility of the futures price data of Robusta coffee in the Jakarta Futures Exchange. It used the GARCH, EGARCH, and GJR-GARCH models. Meanwhile, the data used were robusta coffee prices, covering spot prices, March contract prices, and September contract price for the 2016-2019 period. The results of the study indicate that the GARCH (1,1) is the most suitable model for the three Robusta coffee prices.

Reference this Research Paper (copy & paste below code):

Puspa Renggani, I Made Sumertajaya, Farit Mochamad Afendi, Retno Budiarti (2020); COMPARISON OF SYMMETRIC AND ASYMMETRIC GARCH MODELS IN THE FUTURES CONTRACT OF ROBUSTA COFFEE IN JAKARTA FUTURES EXCHANGE; International Journal of Scientific and Research Publications (IJSRP) 10(11) (ISSN: 2250-3153), DOI: http://dx.doi.org/10.29322/IJSRP.10.11.2020.p10717
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