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

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.