Peramalan Perubahan Harga (Return) CPO pada Pasar Spot Indonesia dan Futures CPO Internasional Periode 2007-2025

Abstract

Pasar crude palm oil (CPO) memiliki volatilitas return tinggi sehingga pelaku pasar spot dan futures memerlukan informasi pergerakan harga untuk mengelola risiko harga. Penelitian ini meramalkan return CPO pada pasar spot Indonesia dan futures internasional, lalu mengevaluasi kinerja ARIMA, Model Teknikal Wang (105 indikator teknikal), dan Model Osilator Teknikal (CCI, Bollinger Band %B, Stochastic Oscillator) menggunakan data return logaritmik bulanan Januari 2007–Desember 2025, dengan evaluasi out-of-sample Januari 2022–Desember 2025 pada horizon 1, 3, dan 6 bulan (R²-OOS, Directional Accuracy, uji Clark-West). Pada horizon satu bulan, tidak ada model yang unggul signifikan dibanding historical average. Pada horizon enam bulan, Model Osilator Teknikal mengungguli model lainnya, dengan R²-OOS 6,65% dan arah harga benar hampir 60% di pasar futures, sehingga dapat menjadi informasi tambahan bagi manajemen risiko harga jangka enam bulan. Pasar futures juga lebih mudah diprediksi dibanding pasar spot, sejalan dengan likuiditas dan price discovery yang lebih kuat.

The crude palm oil (CPO) market exhibits high return volatility, and spot and futures market participants need reliable price signals to manage price risk. This study forecasts CPO returns in the Indonesian spot market and the international futures market, evaluating the performance of ARIMA, the Wang Technical Model (105 technical indicators), and an Oscillator Model (CCI, Bollinger Band %B, Stochastic Oscillator) using monthly log returns from January 2007 to December 2025, with an out-of-sample evaluation from January 2022 to December 2025 at 1, 3, and 6 month horizons (R²-OOS, directional accuracy, Clark-West test). At the one-month horizon, no model significantly outperforms the historical-average benchmark. At the six-month horizon, the Oscillator Model outperforms the other models, with an R²-OOS of 6.65 percent and directional accuracy near 60 percent in the futures market. This result offers an additional reference point for six-month price-risk management. The futures market is also more predictable than the spot market, consistent with its deeper liquidity and price discovery.