Seasonal Price Volatility of Cayenne Pepper: A Case Study in East Java, Indonesia

Imama Nurus Izaati, Azwar Annas, Iid Mufaidah, Ni’matur Rohmah

Abstract


Cayenne pepper is one of the essential food commodities for Indonesian society that frequently experiences price fluctuations. Volatility in cayenne pepper prices can be influenced by seasonal changes, shifts in consumer preferences, and variations in cultivated area. This study aims to analyze seasonal price volatility of cayenne pepper in five major production regencies in East Java during January 2020 to December 2023. The five regencies examined in this study are Malang, Kediri, Blitar, Banyuwangi, and Probolinggo. This study serves as an attempt to map uncertainty in price between seasons, because studies on price volatility rarely break down the level of price volatility between dry and rainy seasons. Analysis employs the ARCH/GARCH model. The study found that Malang, Kediri, and Banyuwangi experience high volatility during the rainy season, with value of ARCH/GARCH Malang (1,150), Kediri (1,164), and Banyuwangi (1,062). Meanwhile, during the dry season the entire research area tends to show low volatility, with ARCH/GARCH values less than 1. These findings confirm that seasonal factors are an important determinant of cayenne pepper volatility and need to be considered in formulating price stabilization policies as well as risk mitigation strategies for producers and supply chain actors.

Keywords


ARCH-GARCH; Cayenne pepper; Seasonal price volatility;

Full Text:

PDF

References


Ambali, M., & Barchenger, D. (2025). Recent Trends in Pepper (Capsicum spp.) Production and Consumption in Sub-Saharan Africa. V All Africa Horticultural Congress – AAHC2024. https://doi.org/10.17660/ActaHortic.2025.1422.12.

Anindita, R., & Baladina, N. (2017). Pemasaran Produk Pertanian. Andi.

Anwarudin S, M. J., Sayekti, A. L., Marendra K, A., & Hilman, Y. (2013). Production Dynamics and Price Volatility of Chili: Anticipation Strategy and Development Policy. Pengembangan Inovasi Pertanian, 8(1), 1-10.

Aurélien, A. B. H., & Emmanuel, O. N. B. (2024). Climate Change And Political Stability in African States: The Role of Agricultural Food Price Volatility. Environ Dev Sustain, 28, 11683–11720. https://doi.org/10.1007/s10668-024-05358-y.

Bakari, Y. (2023). Price Volatility Analyze in Early Pandemic Covid 19 Outbreaks: Case Study in Gorontalo Province Shallot Market. Agricultural Socio-Economics Journal, 23(1), 69–76. https://doi.org/10.21776/ub.agrise.2023.023.1.9

Baladina, N., Sugiharto, A. N., Anindita, R., & Laili, F. (2021). Price Volatility of Maize and Animal Protein Commodities in Indonesia During The Covid-19 Season. IOP Conference Series: Earth and Environmental Science, 803(1), 1–6. https://doi.org/10.1088/1755-1315/803/1/012060

Bambang, J. (2012). Ekonometrika Deret Waktu : Teori dan Aplikasi. IPB Press.

Berger, J., Dalheimer, B., Brümmer, B., Berger, J., Dalheimer, B., & Brümmer, B. (2019). Effects of Variable EU Import Levies on Corn Price Volatility Effects of variable EU Import Levies on Corn Price Volatility. Food Policy, 102, 1-13.

Bilang, M., & Laga, A. (2017). Powder Using Acceleration Method Based on Labuza Approach. Jurnal Teknologi Pangan, 11(2), 13-22. https://doi.org/10.33005/jtp.v11i2.892.

Bissoondoyal-bheenick, E., Brooks, R., Xuan, H., & Smyth, R. (2020). Exploiting The Heteroskedasticity in Measurement Error to Improve Volatility Predictions in Oil and Biofuel Feedstock Markets. Energy Economics, 86, 1-52. https://doi.org/10.1016/j.eneco.2020.104689.

Box, G. E. P., Jenkins, G. M., Reinsel, G. C., Ljung, G. M., & Wiley, J. (2016). Time Series Analysis : Forecasting and Control. Journal of Time Series Analysis, 37, 709-711. https://doi.org/10.1111/jtsa.12194.

Brooks, C. (2007). Introductory Econometrics for Finance. Cambridge University Press. https://doi.org/10.1017/CBO9780511841644.

Bukenya, J. O. (2017). Assessment of Price Volatility in the Fisheries Sector in Uganda. Journal of Food Distribution Research, 48(1), 81-88.

Dahl, R.E., Oglend, A., & Yahya, M. (2020). Dynamics of Volatility Spillover in Commodity Market: Linking Crude Oil to Agricultural. Journal of Commodity Market, 20, 1-32. https://doi.org/10.1016/j.jcomm.2019.100111.

Diebold, F. X. (2007). Elements of Forecasting. South-Western.

Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation. Econometrica, 50, 987–1007. https://doi.org/https://doi.org/10.2307/1912773.

Farid, M., Subekti, N. A. (2012). Tinjauan Terhadap Produksi, Konsumsi, Distribusi dan Dinamika Harga Cabe di Indonesia. Buletin Ilmiah Litbang Perdagangan, 6(2), 211-234.

Gilbert, C. L., & Morgan, C. W. (2010). Food Price Volatility. Philosophical Transactions of the Royal Society B: Biological Sciences, 365(1554), 3023–3034. https://doi.org/10.1098/rstb.2010.0139.

Harinta, Y. W., Basuki, J. S., Sukaryani, S. (2018). Pemetaan dan Pengembangan Agribisnis Komoditas Unggulan Sayuran di Kabupaten Karanganyar. AGRIEKONOMIKA, 7(1), 37–46. https://doi.org/10.21107/agriekonomika.v7i1.3201.

Hartono, R., Rahman, M. S., Retnoningsih, D., & Shaleh, M. I. (2023). Price Volatility of Horticulture Commodity During the Pandemic in East Java, Indonesia. HABITAT, 34(3), 277–288. https://doi.org/10.21776/ub.habitat.2023.034.3.25.

Headey, D., & Ruel, M. (2023). Food in Fl Ation and Child Undernutrition in Low and Middle Income Countries. Nature Communications, 14, 1-10. https://doi.org/10.1038/s41467-023-41543-9.

Hidayati, N., Anwar, S., Rahmah, R. et al. (2022). Peramalan Harga Cabai Merah Sebagai Upaya Menjaga Stabilitas Inflasi Kota Banda Aceh. AGRIEKONOMIKA, 11(1), 31–42. https://doi.org/10.21107/agriekonomika.v11i1.11380.

Huchet-bourdon, M. (2011). Agricultural Commodity Price Volatility: An Overview. OECD Food, Agriculture and Fisheries. 52, 5–51.

Hyndman, R. J., & Athanasopoulos, G. (2018). Forecasting: Principles and Practice (2nd ed.). OTexts. https://doi.org/10.32614/CRAN.package.fpp2.

Landjo, M., & Presno, M. J. (2021). Stationarity in the Prices of Energy Commodities. A Nonparametric Approach. Energies, 14, 1-16. https://doi.org/10.3390/en14113324.

Lestari, E. P., Prajanti, S. D. W., Wibawanto, W., & Adzim, F. (2022). ARCH-GARCH Analysis: An Approach to Determine The Price Volatility of Red Chili. Agraris, 8(1), 90–105. https://doi.org/10.18196/agraris.v8i1.12060.

Ligot, S., Gillet, R., Veryzhenko, I., Ligot, S., Gillet, R., & Veryzhenko, I. (2024). Intraday Volatility Smile : Effects of Fragmentation and High Frequency Trading on Price Efficiency. Journal of International Financial Markets, Institutions and Money, 75, 1-10. https://doi.org/10.1016/j.intfin.2021.101437.

Mardiyati, S., & Natsir, M. (2024). Fluctuations and Trends in The Prices of Red Chilies and Cayenne Peppers in The Traditional Markets of Makassar City. IOP Conference Series: Earth and Environmental Science, 1302(1), 1-10. https://doi.org/10.1088/1755-1315/1302/1/012124.

Mariyono, J., Dewi, H. A., Daroini, P. B., Latifah, E., Zakariya, A. Z., & Afari-sefa, V. (2018). Marketing Aspects of Vegetables: Comparative Study of Four Regions in East Java and Bali. AGRIEKONOMIKA, 7(1), 46–56. https://doi.org/10.21107/agriekonomika.v7i1.3410.

Matsuda, T., Uehara, M., Hyvarinen, A. (2021). Information Criteria for Non-Normalized Models. Journal of Machine Learning Research, 22, 1–33.

Mir, S., Maksum, M., & Suwondo, E. (2020). Trend Analysis of Red Chili Price-Formation Models. AGRITECH, 40(1), 57–63. https://doi.org/10.22146/agritech.45946.

Muflikh, Y. N., Smith, C., Brown, C., Aziz, A. A. (2021). Analysing Price Volatility in Agricultural Value Chains Using Systems Thinking: A Case Study of The Indonesian Chilli Value Chain,. Agricultural Systems, 192, 1-10. https://doi.org/10.1016/j.agsy.2021.103179.

Mustafa, Z., Vitali, G., Huffaker, R., & Canavari, M. (2024). A Systematic Review on Price Volatility in Agriculture. Journal of Economic Surveys. Journal of Economic Surveys, 38, 268–294. https://doi.org/10.1111/joes.12549.

Nguyen, H., & Randall, M. (2024). Factors Affecting Crop Prices in the Context of Climate Change. A Review. 1–17. https://doi.org/10.3390/agriculture14010135.

Nugrahapsari, R. A., Arsanti, I. W. (2019). Analizing Curly Chili Price Volatility in Indonesia Using the ARCH GARCH Appoarch. Jurnal Agro Ekonomi, 36(1), 25–37. https://doi.org/10.21082/jae.v36n1.2018.25-37.

Nukman Ridho, M., & Nur, E. S. (2020). Pengaruh Perubahan Iklim Terhadap Produktivitas Tanaman Cabai Rawit (Capsicum frutescens L.) di Kabupaten Malang. Jurnal Produksi Tanaman, 8(3), 304–314.

Ojogho, O., & Egware, R. A. (2015). Price Generating Process and Volatility in Nigerian Agricultural Commodities Market. International Journal of Food and Agricultural Economics, 3(4), 55–64.

Osuagwu, E. S. (2020). Empirical Evidence of a Long-Run Relationship Between Agriculture and Manufacturing Industry Output in Nigeria. Sage Journal, 10(1), 1-12 https://doi.org/10.1177/2158244019899045.

Padapi, A., Mursalat, A., Hasbi, A. R. (2022). Disparitas Cabai Rawit Merah di Indonesia. Agriovet, 5(1), 133-148. https://doi.org/10.51158/agriovet.v5i1.818

Pradana, R. S. (2019). Kajian Perubahan dan Volatilitas Harga Komoditas Pangan Strategis serta Pengaruhnya Terhadap Inflasi di Kota Banda Aceh. Jiep, 19(2), 85–100.

Priyambodoi, A. W., & Dyanasari. (2022). Price Volatility of Shallot and Garlic and Effect on Inflation in East Java. Journal of Agri Socio Economic and Business, 4(2), 109–118. https://doi.org/10.31186/jaseb.4.2.109-118.

Rachmawati, E., Syaukat, Y., & Novianti, T. (2020). Fluctuation and Price Responses Retail Level of Red Chili, Cayenne Pepper, Shallot in Five Major Cities in Java. International Journal of Progressive Sciences and Technologies (IJPSAT), 21(1), 168–175.

Serrano-Arcos, M. D. M., Sánchez-Fernández, R., & Pérez-Mesa, J. C. (2021). Analysis of Product-Country Image from Consumer’s Perspective: The Impact of Subjective Knowledge, Perceived Risk and Media Influence. Sustainability (Switzerland), 13(4), 1–25. https://doi.org/10.3390/su13042194.

Setiawati, I., & Ardiansyah, R. T. (2021). Price Volatility of Staple Food Using ARCH-GARCH Model. The 2nd International Conference on Sustainable Agriculture for Rural Development 2020 20 October 2020. https://doi.org/10.1088/1755-1315/653/1/012146.

Shumway, R.H., Stoffer, D. S. (2017). ARIMA Models. In: Time Series Analysis and Its Applications. Springer, Cham. https://doi.org/10.1007/978-3-319-52452-8_3.

Siami-Namini, S. (2019). Volatility Transmission Among Oil Price, Exchange Rate and Agricultural Commodities Prices. Applied Economics and Finance, 6(4), 41-61. https://doi.org/10.11114/aef.v6i4.4322.

Steen, M., & Bergland, O. (2023). Climate Change and Grain Price Volatility : Empirical Evidence for Corn and Wheat 1971 – 2019. Commodities, 2(1), 1–12. https://doi.org/10.3390/commodities2010001.

Sujarwo, S., Hanani, N., Fahriyah, F., & Khofifah, H. (2023). Price Volatility of Agricultural Products: Evidence From Producer Fruits Price in Batu Municipality, Indonesia. Jurnal Manajemen dan Agribisnis, 20(3), 419–430. https://doi.org/10.17358/jma.20.3.419.

Sujarwo, S., & Laili, F. (2023). Price Forecasting of Strategic Food Commodities in Various Markets in Malang Regency: Implementation of the Arma-Garch Model. Agricultural Socio-Economics Journal, 23(2), 199–216. https://doi.org/10.21776/ub.agrise.2023.023.2.9.

Viana, D. C., Hartono, S., & Waluyati, L. R. (2017). Volatility Analysis on Producer Price of Red Pepper and Cayenne Pepper in West Java Province Indonesia. Agro Ekonomi, 28(2), 157-169. https://doi.org/10.22146/jae.25939.

Vogelvang, B. (2005). Econometrics: Theory and Applications with E-Views. Pearson Education Limited.

Wang, W., Moffatt, P. G., Zhang, Z., & Raza, M. Y. (2025). Volatility Spillovers and Conditional Correlations Between Oil, Renewables and Stock Markets: A Multivariate GARCH-in-mean Analysis. Energy Strategy Reviews, 57(January), 101639. https://doi.org/10.1016/j.esr.2025.101639.

Wasita, R., & Hidayat, N. K. (2025). Effects of Supply and Commodity Substitution on Chili Price Volatility at Kramat Jati Wholesale Market, Jakarta, Indonesia. Agro Bali : Agricultural Journal, 8(3), 781–795. https://doi.org/10.37637/ab.v8i3.2244.




DOI: https://doi.org/10.21107/agriekonomika.v15i2.34152

Refbacks

  • There are currently no refbacks.


Bookmark and Share


 
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.