Vector Error Correction Model to Forecasting Spot Prices for Coffee Commodities During Covid-19 Pandemic
نویسندگان
چکیده
Abstract Forecasting time series commonly shows non-stationer behavior and involves interrelated variables, so a method that able to obtain good forecasting result from non-stationary multivariate data is needed. Vector Error Correction Model (VECM) as one of model vector form restricted Autoregressive (VAR) for which has Cointegrity relationship. Prices agricultural commodities futures usually show variability unsystematic behavior, especially in times facing the Covid-19 pandemic it today, getting complete information about requires handling while still considering concept data-driven. Coffee, commodity data, often not known its stationarity. The purpose this study identify reliability VECM predict spot price coffee during Indonesia. used several observed there are: Robusta prices exchange rates daily case positive results described Coffee Indonesia long-term cointegration relationship movement due influence pandemic.
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ژورنال
عنوان ژورنال: Journal of physics
سال: 2021
ISSN: ['0022-3700', '1747-3721', '0368-3508', '1747-3713']
DOI: https://doi.org/10.1088/1742-6596/1811/1/012076