Volatilitas Harga Ekspor Wood Pellets Indonesia Periode 2012-2025

Abstract

Wood pellets (HS 440131) merupakan komoditas energi terbarukan yang semakin berkembang dalam perdagangan global seiring meningkatnya kebutuhan energi rendah karbon. Indonesia memiliki potensi besar dalam pengembangannya, namun harga ekspornya berfluktuasi sehingga menimbulkan ketidakpastian. Penelitian ini bertujuan menganalisis volatilitas harga ekspor wood pellets Indonesia periode 2012–2025 serta menentukan model volatilitas terbaik. Data time series bulanan diolah menjadi harga ekspor riil dan dianalisis menggunakan model ARCH dan GARCH. Hasil penelitian menunjukkan harga ekspor berfluktuasi dengan rata-rata 114,73 US$/ton, minimum 74,31 US$/ton, dan maksimum 251,45 US$/ton. Uji Lagrange Multiplier menunjukkan adanya efek ARCH (nilai LM = 70,102; p-value = 0,000). Model ARCH menghasilkan koefisien yang signifikan (a1 = 1,055; p<0,05), sedangkan koefisien GARCH tidak signifikan (0,107; p>0,05). Hasil ini menunjukkan bahwa volatilitas harga lebih dipengaruhi oleh shock jangka pendek dan tidak bersifat persisten, sehingga model ARCH dipilih sebagai model terbaik.

Wood pellets (HS 440131) are a renewable energy commodity that has experienced rapid growth in global trade due to increasing demand for low-carbon energy sources. Indonesia has significant potential for developing this industry, however export prices are subject to fluctuations, creating market uncertainty. This study aims to analyze the volatility of Indonesian wood pellet export prices during 2012–2025 and identify the most suitable volatility model. Monthly time series data were converted into real export prices and analyzed using ARCH and GARCH models. The results show that export prices fluctuated with an average of 114,73 US$/ton, a minimum of 74,31 US$/ton, and a maximum of 251,45 US$/ton. The Lagrange Multiplier test confirmed the presence of ARCH effects (LM statistic = 70,102; p-value = 0,000). The ARCH model produced a significant coefficient (a1 = 1,055; p < 0,05), while the GARCH coefficient was not significant (0,107; p> 0,05). These findings indicate that price volatility is driven mainly by short-term shocks and is not persistent over time. Therefore, the ARCH model was identified as the most appropriate model for explaining the volatility of Indonesian wood pellet export prices.