以ARCH/GARCH模型分析印尼咖啡價格波動

Volatility Analysis of Indonesian Coffee Price Using ARCH/GARCH Model

麥娜(Meinar Fithria Rahayu)

指導教授 ： 張文宜

國立屏東科技大學/管理學院/農企業管理系所/碩士(2015年)

https://doi.org/10.6346/NPUST.2015.00030

摘要

這項研究旨在分析對使用ARCH/ GARCH模型印尼咖啡的價格預期波動的最佳模式，並利用EGARCH模型來衡量國際市場價格的咖啡波動溢出到印尼咖啡的價格。這些模型使用不同的條件方差指標趕上不對稱。實證結果表明GARCH（1.1）模型似乎更好地描述了印尼的咖啡價格波動。從EGARCH分析知道，國際咖啡價格具有不對稱的效果印尼回報咖啡的價格，表明國內咖啡市場的效率不高。

關鍵字

印尼 ； 咖啡 ； 價格 ； 波動率 ； 溢出 ； ARCH/ GARCH,GARCH

並列摘要

This study aims to analyze the best model to expected volatility of Indonesia’s coffee price using ARCH/GARCH model and to measure the coffee price volatility spillover of International market to 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 to Indonesia’s return coffee price and indicate that domestic coffee market is not efficient.

並列關鍵字

Indonesian ； coffee ； price ； volatility ； spillover ； ARCH/ GARCH,GARCH

參考文獻

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