Econometric Forecasting Models for Short Term Natural Rubber Prices
This study presents a number of short-term ex-post forecasts of single equation model, Multivariate Autoregressive Moving Average (MARMA) model, simultaneous supply-demand and price system equation model, and Autoregressive Integrated Moving Average (ARIMA) model, and ARCH-type models of natural...
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| Main Author: | |
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| Format: | Thesis |
| Language: | English English |
| Published: |
2010
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| Subjects: | |
| Online Access: | http://psasir.upm.edu.my/id/eprint/10717/1/FP_2010_3_A.pdf |
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| Summary: | This study presents a number of short-term ex-post forecasts of single equation
model, Multivariate Autoregressive Moving Average (MARMA) model,
simultaneous supply-demand and price system equation model, and Autoregressive
Integrated Moving Average (ARIMA) model, and ARCH-type models of natural
rubber (NR) SMR20 (Standard Malaysia Rubber of grade 20) prices in the world NR
market. The ARCH-type models (Autoregressive Conditional Heteroskedasticity)
used include the GARCH (1,1) (Generalized ARCH) model, EGARCH (1,1) (The
Exponential GARCH) model, PARCH (1,1) (The Power ARCH) and CGARCH (1,1)
(The Component GARCH) model. These were developed for ex-post forecast of
short-term monthly SMR20 prices in the world NR market.
Natural rubber is a vital commodity used in the manufacture of a wide range of rubberbased
products. Over 20 million families are dependent on rubber cultivation for their
livelihood in the world NR market. The years 1997 to 1999 and as well as in the year
2000 were turbulent years for the economies in South-East and East Asia. In 2008, the extremely low prices due to the outbreak of the global recession. It experienced during
these years contributed to price volatility and instability in many countries, especially
rubber smallholders in South East Asia. Moreover, the crude petroleum oil price is an
important component of synthetic rubber. A fall in the crude petroleum oil price relates
to synthetic rubber. It influences a declining share of synthetic rubber in total rubber
consumption, and also a weak currency exchange affects in the NR producing countries
because most commodities are traded in US dollar. This could be a good reason for
taking the current NR price forecasting study. It would be also a direction of short term
NR price movement for policy formulation. Furthermore, the conceptual economic
framework of this study was a good starting point for discussion and perceptive of shortterm
ex-post forecast of NR price forecasting models developed, with the opportunity of
using some of these factors later in the other study for the forecasting of rubber prices.
The model specifications were developed in order to discover the inter-relationships
between NR production, consumption and prices of SMR20, to forecast the NR price of
SMR20 using single equation model, MARMA model, simultaneous system equation of
supply-demand and price forecasting model, ARIMA model, and ARCH-type models, to
analyze and compare the various NR price forecasting models individually in terms of
their comparative price forecasting accuracy and to determine which between the models
are more efficient. The models were utilized using monthly data from January 1990 to
December 2008 as estimation period, providing a total of 228 observations and data was
used as an ex-post forecasts. All data (variables) were tested for unit root test using the
Augmented Dickey-Fuller (ADF) test and the Phillips-Perron (PP) test and were found
to be stationary at first difference. The Granger causality test was tested for the direction
of a Granger causality relationship between two variables. |
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