MODEL DEPENDENSI HARGA-HARGA KOMODITAS EKSPOR UNGGULAN INDONESIA MENGGUNAKAN PENDEKATAN COPULA

Riri Sesiati, J. Rizal, Yulian Fauzi
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Abstract

  The export of non-oil and gas leading commodities (palm oil, rubber and cocoa) contributes the largest state revenue. Copula is used to model the dependency between two variables that have different marginal distributions. The data to be used is secondary data from the Commodity Futures Trading Supervisory Agency (BAPPEBTI) starting from January 1, 2018 - February 28, 2020 for the period before the Covid-19 pandemic and March 1, 2020 - November 26, 2021 for the period after the Covid-19 pandemic. The dependency of the two variables to be measured is the price of palm oil, rubber and cocoa before and after the start of the Covid-19 pandemic in Indonesia. The Copula that will be used are Joe, Gumbel, Frank, Gaussian, Clayton, and Student's t. The best Copula model obtained for palm oil and rubber dependencies is the Joe Copula, while palm oil and cocoa and cocoa rubber dependencies are the Clayton Copula.  
印尼大宗商品出口价格依赖模式采用了co亦的方法
非石油和天然气主要商品(棕榈油、橡胶和可可)的出口贡献了最大的国家收入。使用Copula对具有不同边际分布的两个变量之间的依赖关系进行建模。将使用的数据是商品期货交易监管机构(BAPPEBTI)从2018年1月1日至2020年2月28日(新冠肺炎大流行前)和2020年3月1日至2021年11月26日(新冠肺炎大流行后)的二手数据。要测量的两个变量的依赖关系是棕榈油、橡胶和可可在印度尼西亚Covid-19大流行开始前后的价格。将使用的Copula是Joe, Gumbel, Frank, Gaussian, Clayton和Student's t。棕榈油和橡胶依赖关系的最佳Copula模型是Joe Copula,而棕榈油和可可以及可可橡胶依赖关系是Clayton Copula。
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