Modeling and Forecasting of Volatility using ARMA-GARCH: Case Study on Malaysia Natural Rubber Prices

Author:

Ghani I M Md,Rahim H A

Abstract

Abstract Malaysia is one of the largest producers of natural rubber in the world. Among the various types of natural rubber which contribute to the country’s agricultural sector is the Standard Malaysian Rubber Grade 20 (S.M.R 20). Since 2008, the rubber price has received attention of investors and Malaysia Rubber Board due to price fluctuation. The price of rubber is characterized by the existence of heavy tails and volatility clustering. These properties play a significant impact on parameter estimation and forecasting performance resulting from S.M.R 20 rubber price data. The approach used in modeling S.M.R 20 rubber price data, is Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. The aims of this paper are to find the best ARMA-GARCH model by using different specifications structures and to forecast the daily price for 20 days ahead. There are 20 models produced from different specifications in ARMA(R,M) dan GARCH(p,q) models. In this study, 1953 daily price data of S.M.R 20 are taken into consideration. The validity comparison of diagnostic checking and forecasting performance are based on AIC, AICC, SBC, HQC, MSE, RMSE and MAPE. The results reveals that ARMA(1,0)-GARCH(1,2) model is the best volatility modeling in S.M.R 20 rubber price. Based on the implications of the results, the scope of the future research directions has been widen.

Publisher

IOP Publishing

Subject

General Medicine

Reference25 articles.

1. Volatility and Market Risk of Rubber Price in Malaysia: Pre- and Post-Global Financial Crisis;Goh;Journal of Quantitative Economics,2016

2. Modelling oil price volatility with structural breaks;Salisu,2013

3. Applying ARMA-GARCH approaches to forecasting short-term electricity prices;Liu;Energy Economics,2013

4. Modeling and forecasting the volatility of petroleum futures prices;Kang;Energy Economics,2013

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3