This study examines the behaviour of staple food price using Multivariate BEKK-GARCH Model. Understanding of staple food price behaviour is important for determining the unpredictability of staple food market and also for policy making. In this paper, we focus on the commodity prices of sugar, rice, soybean and wheat to examine the volatility behaviour of those commodities. The empirical results show that the own-volatility spillover are relatively significant for all food prices. The own-volatility spillover effect for sugar price is relatively large compared with the volatility spillover of other staple food commodities. The findings also highlight that the price volatility of wheat increases during food crisis more than it does when the condition is stable. Also, the own-volatility of rice and wheat in the period of the food crisis is significant and higher compared to the period before food crisis indicates that the past own-volatility effects during food crisis are relatively more difficult to predict because of the uncertainty and high price volatility. Policy recommendations that can be proposed based on the findings are: (1) a better trade agreement in food commodity trade, (2) Indonesia should not depend on wheat importation, and (3) early warning system to minimize food price volatility risks.

1. Introduction
 2. Literature Review
 3. Methodology
  3.1. ARMA- GARCH(p, q) Model
  3.2. The Multivariate BEKK-GARCH(1,1)
 4. Data
 6. Discussion
  6.1. Multivariate BEKK-GARCH for the PeriodBefore Food Crisis
  6.2. Multivariate BEKK-GARCH for the Period ofFood Crisis
  6.3. Multivariate BEKK-GARCH for the PeriodAfter Food Crisis
  6.4. Multivariate BEKK-GARCH for the Full Period
  6.5. Conditional Correlations of the Return ofStaple Food Prices (Sugar, Rice, Soybean,Wheat) with Multivariate BEKK-GARCH Model
 7. Conclusion
 References

• Gamini Premaratne(UBD School of Business and Economics, University of Brunei Darussalam, Brunei Darussalam.)
• Kumara Jati(Trade Policy Analysis and Development Agency, Ministry of Trade of Republic of Indonesia, Indonesia.) Corresponding Author.