Volatility modelling and forecasting of Malaysian crude palm oil prices
The purpose of the current study is to model and forecast the prices of Malaysian crude palm oil. The oil palm industry is a contributor to Malaysia's export revenue. Autoregressive Integrated Moving Average (ARIMA) model is first used to fit the series. To model the noise term of ARIMA model,...
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| Pengarang-pengarang Utama: | , , |
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| Format: | Artikel |
| Diterbitkan: |
Hikari Ltd.
2014
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| Subjek-subjek: | |
| Capaian Atas Talian: | http://eprints.utm.my/63222/ http://eprints.utm.my/63222/ http://eprints.utm.my/63222/ |
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| Ringkasan: | The purpose of the current study is to model and forecast the prices of Malaysian crude palm oil. The oil palm industry is a contributor to Malaysia's export revenue. Autoregressive Integrated Moving Average (ARIMA) model is first used to fit the series. To model the noise term of ARIMA model, Generalized Autoregressive Conditional Heteroskedasticity (GARCH) is used. The model is assessed using Akaike Information Criteria (AIC) and mean absolute percentage error (MAPE). |
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