Valuing risk of changes on corn (zea mays) prices by considering skewness and kurtosis parameters

Abstract

Value at Risk (VaR) is a measure of risk value by estimating the potential of maximum loss that might occur in future in certain time and a certain level of confidence. The risks faced in agriculture might be in production and marketing of agricultural products. This research aims to estimate the risk value in agricultural commodity-particularly dried shelled corn. Data used was the monthly data of the price of producers in Grobogan in period of November 2015 to July 2018. The data showed the return with the normally undistributed value of skewness and kurtosis. For this, the method of Cornish-Fisher was used in this research to measure the VaR in return that was normally undistributed. At the confidence level of 95%, with the initial capital of 1 million Rupiah, the risk that probably occurred in the following month (1 period) was by Rp 369,173.40 without considering the skewness and kurtosis, and by Rp 22,439.13 by considering skewness and kurtosis. The result of the research showed that, for the return that was normally undistributed, the level of risk obtained from the measurement of VaR by concerning skewness and kurtosis was found more accurate compared to the one without considering the skewness and kurtosis.