Pemilahan Volatilitas Harga Daging Sapi Menggunakan Metode Ensemble Empirical Mode Decomposition

Fitria Hasanah, Hari Wijayanto, I Made Sumertajaya

Abstract


English
Staple food prices include the major determinants of households food security and general inflation. Beef is a basic food which its price is controlled by the Government of Indonesia. This study aims to identify the determinants beef price volatility using the Ensemble Empirical Mode Decomposition (EEMD) method. The data was a weekly series of Januari 2006–Desember 2018 obtained from the Ministry of Trade. EEMD extracts data into a number of Intrinsic Mode Functions (IMFs) that are independent which are then used to forecast beef prices with the ARIMA model. EEMD produced 6 IMFs and one residual. The residual contributed 99.85% to beef price volatility. This means that the long-term trend of beef prices is determined by the residual trends. The EEMD results indicate that the high beef price volatility in certain periods is mainly due to high demand during the Ramadhan month and Idul Fitri, import quota policy, and changes in exchange rates and petroleum prices. The IMF and residual based ARIMA forecasting model obtained MAPE value of 0.42% but with contradicting directions. The Government may use the import quota as a policy instrument for stabilizing the beef price.


Indonesian
Harga pangan pokok termasuk faktor penentu utama ketahanan pangan rumah tangga dan inflasi umum. Daging sapi adalah salah satu bahan pangan pokok yang harganya dikendalikan Pemerintah Indonesia. Penelitian ini bertujuan mengidentifikasi faktor penentu volatilitas harga daging sapi dengan metode Ensemble Empirical Mode Decomposition (EEMD). EEMD menguraikan data menjadi sejumlah Intrinsic Mode Function (IMF) yang saling bebas yang selanjutnya digunakan untuk melakukan peramalan harga daging sapi dengan model ARIMA. Data yang digunakan adalah harga daging sapi mingguan Januari 2006–Desember 2018 yang diperoleh dari Kementerian Perdagangan. EEMD menghasilkan 6 IMF dan satu sisaan. Sisaan IMF memberikan kontribusi sebesar 99,85% terhadap pergerakan harga daging sapi. Artinya bahwa tren jangka panjang harga daging sapi ditentukan oleh tren sisaan. Berdasarkan hasil EEMD, volatilitas harga daging sapi yang tinggi pada periode-periode tertentu dipengaruhi oleh beberapa faktor terutama tingginya permintaan selama bulan Ramadhan dan Idul Fitri dan kebijakan kuota impor, serta perubahan nilai tukar rupiah dan harga BBM. Model peramalan ARIMA yang diduga berdasarkan IMF dan sisaan IMF menghasilkan nilai MAPE sebesar 0,42%, namun arah perubahannya tidak bersesuaian. Disarankan agar pemerintah menggunakan kuota impor sebagai salah satu instrumen kebijakan stabilisasi harga daging sapi.

Keywords


ARIMA; EEMD; harga daging sapi; peramalan; beef price; decomposition; forecast

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DOI: http://dx.doi.org/10.21082/jae.v38n1.2020.41-54

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