VOLATILITAS HARGA KOMODITAS TIMAH

Adis Imam Munandar, Hermanto Siregar, Trias Andati, Lukytawati Anggraeni

Abstract


Abstract. The aim of this research is to analyse the factors which influence the price
volatility of tin commodity. Monthly basis data were collected from 1990 to 2015. We
employed ARCH-GARCH models and verified by interview with tin expert. The
results showed that model EGARCH (1,1,1) is the best model to explain the price
volatility of tin commodity. Changing factors from crude oil price, copper price, lead
price and T-Bill 3M were significantly affecting volatility in tin price. Experts believe
the high volatility from 2001 to 2015 led to the difficulties in developing of
downstream tin industry in Indonesia.
Keyword: ARCH-GARCH, Price, Tin, Volatility
Abstract. Tujuan penelitian menganalisis faktor-faktor yang mempengaruhi volatilitas
harga komoditas timah. Data yang digunakan bersifat bulanan dari tahun 1990 hingga
tahun 2015. Metode penelitian menggunakan ARCH-GARCH model dan verfikasi
dengan interview pakar timah. Hasil penelitian menunjukkan model EGARCH (1,1,1)
merupakan model terbaik menjelaskan volatilitas harga komoditas timah. Faktor
perubahan harga minyak mentah, perubahan harga tembaga, perubahan harga timbal
dan perubahan T-Bill 3M secara signifikan mempengaruhi volatilitas perubahan harga
timah. Pakar berpendapat volatilitas tinggi sejak tahun 2001 hingga 2015 menyebabkan
industri hilir komoditas timah sulit berkembang di Indonesia.
Kata kunci: ARCH-GARCH, Harga, Timah, Volatilitas.


Keywords


ARCH-GARCH, Price, Tin, Volatility

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MIX: Jurnal Ilmiah Manajemen
Journal URL: http://publikasi.mercubuana.ac.id/index.php/Jurnal_Mix
Journal DOI: 10.22441/jurnal_mix
P-ISSN: 2088-1231
E-ISSN: 2460-5328

Editor's Address:

Magister Management Department, Universitas Mercu Buana.
Tedja Buana Building 4th Floor.
Jl. Menteng Raya No. 29, Jakarta 10340.

The Journal is Indexed and Abstracting by:

 

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