Greener Journal of Agricultural Sciences Vol. 3 (9), pp. 656-662, September 2013.
Manuscript Number: 071513732
Analysis of Price Volatility Spillover of Soyabean (Glycine max (L.) Merrill) in East Java
Postgraduate Student of Brawijaya University, Faculty of Agriculture, Malang, East Java. Lecture at The State University of Papua, Manokwari, West Papua.
*Corresponding Author Email: awh_jpr @ yahoo.com
Variability and fluctuation of the world soybean prices lead
to a volatility of the global soybean prices. This
phenomenon causes risks and uncertainties on soyabean
prices. The impact caused by the fluctuation of the unstable
global soybean price (volatility) will be the main factor
for the secondary effects of domestic soybean price
development, especially in East Java, which is called as
spillover. The aim of this study was to identify the
temporary volatility and dynamic volatility of spillover on
the soybean prices at different levels of soybean market in
East Java and in The United States. The GARCH analysis was
conducted in this study because of its relevancy and
accuracy in analyzing the volatility of agricultural
The results showed that there was no significant difference on soybean prices between import prices and the U.S national prices. It was proven by the volatility of import prices (5.94 percen) that as high as of the U.S national prices (5.06 percen). Soybean price volatility at various price levels in dynamic conditions are diverging or more likely the greater at the level of farmers which is characterized by α + β> 1, with the volatility tends to be spiky or surged sharply (α> β), and convergent or getting smaller on a temporary basis. Price volatility dynamically between local soybean prices to the price of imported soybeans are diverging with the α + β> 1. The existence of contemporary volatility spillover of soybean price took place only in one direction among the various levels of soybean prices, while the two-way spillover dynamically occurred only between local prices at the farm level and at the eceran level as well as between local prices at the eceran level and imported soybean prices.
Keywords: Fluctuation, Volatility, Spillover, GARCH.
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