[ABSTRAK
Penelitian ini bertujuan untuk menganalisis efektivitas hedging komoditi di Bursa BerjangkaJakarta. Pada penelitian ini dilakukan pendekatan ekonometrika dengan menggunakan 4model, yaitu OLS, VAR, VECM dan ARCH-GARCH. Hasil penelitian menunjukkan bahwahasil estimasi efektivitas hedging model VECM superior dibandingkan dengan model lain.Secara kesuluran, efektivitas hedging komoditi yang diperdagangkan di BBJ rendah, hanyakomoditi Robusta dan Arabika yang baik sebagai alat mitigasi risiko. BBJ sebaiknyamengkondisikan iklim perdagangan semakin mendekati kondisi perfect hedge, sementaradalam bertransaksi sebaiknya hedger memerhatikan bulan jatuh tempo kontrak sehinggamendapatkan utilitas semaksimal mungkin.

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ABSTRACT
This research is to analyze hedging effectiveness of commodity on the Jakarta FuturesExchange. Analysis on the research done with the approach of econometrics, i.e. regressionanalysis using 4 models, namely OLS, VAR, VECM and ARCH-GARCH. The results showthat VECM models is superior from other models in analyzing hedging effectiveness ofcommodity in BBJ. Overall, commodities traded at Jakarta Futures Exchange is low, onlyRobusta and Arabica has high capability of mitigating risk. BBJ should customize the tradingclimate approaching to the condition of perfect hedge, while in a transaction should belooking at the maturity month contracts so hedger can get the most utility;This research is to analyze hedging effectiveness of commodity on the Jakarta FuturesExchange. Analysis on the research done with the approach of econometrics, i.e. regressionanalysis using 4 models, namely OLS, VAR, VECM and ARCH-GARCH. The results showthat VECM models is superior from other models in analyzing hedging effectiveness ofcommodity in BBJ. Overall, commodities traded at Jakarta Futures Exchange is low, onlyRobusta and Arabica has high capability of mitigating risk. BBJ should customize the tradingclimate approaching to the condition of perfect hedge, while in a transaction should belooking at the maturity month contracts so hedger can get the most utility, This research is to analyze hedging effectiveness of commodity on the Jakarta FuturesExchange. Analysis on the research done with the approach of econometrics, i.e. regressionanalysis using 4 models, namely OLS, VAR, VECM and ARCH-GARCH. The results showthat VECM models is superior from other models in analyzing hedging effectiveness ofcommodity in BBJ. Overall, commodities traded at Jakarta Futures Exchange is low, onlyRobusta and Arabica has high capability of mitigating risk. BBJ should customize the tradingclimate approaching to the condition of perfect hedge, while in a transaction should belooking at the maturity month contracts so hedger can get the most utility]