The Predictability of GARCH-Type Models on the Returns Volatility of Primary Indonesian Exported Agricultural Commodities

The Predictability of GARCH-Type Models on the Returns Volatility of Primary Indonesian Exported Agricultural Commodities

Agricultural sector plays an important role in Indonesia‟s economy; especially for the plantation sub-sector contributing high revenues to Indonesia‟s exporting sectors. The primary agricultural commodities in Indonesian export discussed in this study would be Crude Palm Oil (CPO), Natural Rubber TS...

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Bibliographic Details
Main Author: Saarce Elsye Hatane
Format: Article
Language:Indonesian
Published: Petra Christian University 2011-09-01
Series:Jurnal Akuntansi dan Keuangan
Subjects:
ARCH
GARCH
GARCH-M
EGACRH
TGARCH
returns volatility
residuals
agricultural commodity.
Online Access:http://puslit2.petra.ac.id/ejournal/index.php/aku/article/view/18460

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