Econometric Forecasting Models for Short Term Natural Rubber Prices: Economic Development of World Natural Rubber Industry Models Specifications, Simulation and Evaluation - Softcover

Khin, Aye Aye; Fook Chong, Eddie Chiew; Mohamed, Zainal Abidin

 
9783846515464: Econometric Forecasting Models for Short Term Natural Rubber Prices: Economic Development of World Natural Rubber Industry Models Specifications, Simulation and Evaluation
Softcover
ISBN 10: 3846515469 ISBN 13: 9783846515464
Verlag: LAP LAMBERT Academic Publishing, 2011

Inhaltsangabe

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. 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. The results revealed that the forecasting performance of the simultaneous supply-demand and price system equation model was more efficient than single equation model, MARMA model and ARIMA model, and ARCH-type models for ex-post forecast in estimating the price of SMR20 in the next 6 months or so.

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Über die Autorin bzw. den Autor

Aye Aye Khin has successfully obtained her Ph.D Degree in Agribusiness and worked as a Post Doctoral Research Fellow at Universiti Putra Malaysia (UPM) in 2010. In 2011, she has joined as a Lecturer in Multimedia University (MMU), Cyberjaya, Malaysia and until to now.

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Verlag
LAP LAMBERT Academic Publishing
Erscheinungsdatum
2011
Sprache
Englisch
ISBN 10 
3846515469
ISBN 13 
9783846515464
Einband
Taschenbuch
Anzahl der Seiten
236
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
Fastbook Publishing
customerservice@vdm-vsg.de

Brivibas gatve 197
Riga
1039
Lettland