APLIKASI MODEL GARCH PADA DATA INFLASI BAHAN MAKANAN INDONESIA PERIODE 2005.1- 2010.6
Abstract: In econometric time
series analysis, data which have high volatility would be very risky to be used
as a basis for forecasting, including the volatility of food prices in
Indonesia. Time series data have a tendency to have a constant confounding
error variance over time. Appropriate econometric model to estimate such
behavior is called the Autoregressive Conditional Heteroscedasticity (ARCH)
model and the Generalized Autoregressive Conditional Heteroscedasticity (GARCH)
model. This paper attempts to use ARCH/GARCH models to explain the behavior of
food price inflation in Indonesia in time period of 2005.1 to 2010.6. It is
explained that by incorporating elements of ARCH/GARCH, better estimates will
be achieved.
Penulis: Teguh Santoso, Maruto
Umar Basuki
Kode Jurnal: jpmanajemendd110336
