VOLATILITAS HARGA KOMODITAS TIMAH - Munandar, Adis Imam; Siregar, Hermanto; Andati, Trias; Anggraeni, Lukytawati (MIX: JURNAL ILMIAH MANAJEMEN, 2016)
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.