Investment and Margin Risk Analysis of Robusta Coffee Futures Contract at Jakarta Futures Exchange

Futures trading is developing rapidly in various countries and has become one of the supports for economic growth. However, studies on investment in futures contracts in Indonesia, particularly in measuring risk are still limited. This study aims to calculate the maximum potential loss on investment and the estimated margin on robusta coffee futures at JFX using Value at Risk (VaR). The analysis used symmetrical and asymmetric GARCH (Exponential-GARCH, Threshold-GARCH, and GJR-GARCH). It used data of robusta coffee price, covering spot prices, March contract prices, and September contract prices for the 2016-2019 period. The result of the study indicates that the GARCH (1,1) is the most suitable model for the three robusta coffee prices. Based on the VaR value, the investment risk in the robusta spot is higher than the robusta contract. The margin value interval that may be applied to JFX robusta coffee based on spot price analysis, March contracts, and September contracts reach 2.39%-2.91%.