—This study examined the volatility of Return of Brazilian Sugar Prices (RBSP), Return of Indian Sugar Prices (RISP), Return of French Sugar Prices (RFSP), and Return of Indonesian Sugar Prices (RINSP). Analysis return and volatility are important aspect in financial and commodity market sector. This research used Autoregressive and Moving Average (ARMA) Models and Autoregressive Conditional Heteroskedasticity/ General Autoregressive Conditional Heteroskedasticity (ARCH/GARCH) for a time series of 300 weekly data from February 2007 to November 2012. The best ARMA models of Sugar Prices are vary, RBSP (3,2), RISP (1,1), RFSP (1,1), and RINSP (2,1). The results of RISP and RINSP heteroskedasticity test ARMA models showed that ARCH/GARCH analysis is better than ARMA. The volatility model for RISP and RINSP is GARCH (1,1). Based on forecast of variance, this research obtained that RINSP has higher potential risk compare to RISP.
—Sugar prices volatility, ARMA, ARCH/GARCH models.
Kumara Jati is with Faculty of Business, Economics and Policy Studies, majoring development economics in University of Brunei Darussalam, Jakarta (e-mail: email@example.com).
Cite: Kumara Jati, "Analysis of Sugar Prices Volatility Using ARMA and ARCH/GARCH," International Journal of Trade, Economics and Finance vol.5, no.2, pp. 136-141, 2014.