Abstract Uncertainty in price movements will cause producers to find it difficult to make decisions at the time of production. One of the agricultural commodities in Indonesia that is currently the center of attention is oil palm. Agricultural Research and Development stated that Indonesian palm oil has developed into an important part of the world by occupying the first position as a producer of palm oil. The last five years have shown that palm oil price movements are quite volatile. The weakest conditions occurred in the middle of 2019 when the price of palm oil is at US$ 0.5/kg. Meanwhile, the strongest condition occurred in early 2014 at US$ 1/kg. Mistakes in making business decisions resulting from uncertain price movements will cause the potential of Indonesian palm oil in the world to decline. Through the ARCH/GARCH method, the description of price movements in Indonesian Palm Oil will be known, so that it will be easier for producers in preparing future business plans. The results showed that the ARCH (1) model was able to describe the volatility of CPO prices that occurred in Indonesia, where the forecast for CPO price volatility will be smaller in the following year. The results of this study indicate that CPO prices will be more stable and have a good impact on the CPO industry in Indonesia. These findings can be used as a basis for determining Indonesia's CPO production policy. Keywords: ARCH/GARCH, Plam Oil, Volatility
Indonesian
Fluktuasi harga atau volatilitas harga menjadi fenomena yang erat dengan komoditi pertanian. Ketidakpastian pergerakan harga akan menyebabkan produsen kesulitan dalam mengambil keputusan pada saat berproduksi. Komoditi pertanian di Indonesia yang menjadi pusat perhatian saat ini salah satunya yakni kelapa sawit. Litbang Pertanian menyebutkan kelapa sawit Indonesia telah berkembang menjadi bagian penting dunia dengan menduduki posisi satu sebagai produsen minyak sawit. Lima tahun terkahir menunjukkan pergerakan harga kelapa sawit yang cukup berfluktuatif. Kondisi terlemah terjadi pertengahan tahun 2019, dimana harga minyak kelapa sawit berada pada US$ 0.5/kg. Sedangkan kondisi terkuat terjadi pada awal tahun 2014 sebesar US$ 1/kg. Kesalahan dalam menentukan keputusan usaha yang diakibatkan dari pergerakan harga yang tidak pasti akan menyebabkan potensi kelapa sawit Indonesia di dunia menurun. Melalui metode ARCH/GARCH akan diketahui gambaran pergerakan harga pada Kelapa Sawit Indonesia, sehingga akan memudahkan produsen dalam menyusun rencana usaha kedepan. Keywords: ARCH/GARCH, Minyak Kelapa Sawit, Volatilitas
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