AYE AYE KHIN Eddie Chiew Fook Chong Zainal Abidin Mohamed

ECONOMETRICFORECASTING MODELS FOR

SHORT TERM NATURALRUBBER PRICES

ECONOMIC DEVELOPMENT OF WORLD NATURALRUBBER INDUSTRY

MODELS SPECIFICATIONS, SIMULATION AND EVALUATION

This study presents a number of short-term ex-post forecasts of singleequation model, Multivariate Autoregressive Moving Average (MARMA)model, simultaneous supply-demand and price system equation model, andAutoregressive Integrated Moving Average (ARIMA) model, and ARCH-typemodels of natural rubber (NR) SMR20 (Standard Malaysia Rubber of grade20) prices in the world NR market. The ARCH-type models (AutoregressiveConditional Heteroskedasticity) used include the GARCH (1,1) (GeneralizedARCH) model, EGARCH (1,1) (The Exponential GARCH) model, PARCH (1,1)(The Power ARCH) and CGARCH (1,1) (The Component GARCH) model. Themodels were utilized using monthly data from January 1990 to December2008 as estimation period, providing a total of 228 observations and datawas used as an ex-post forecasts. The results revealed that the forecastingperformance of the simultaneous supply-demand and price systemequation model was more efficient than single equation model, MARMAmodel and ARIMA model, and ARCH-type models for ex-post forecast inestimating the price of SMR20 in the next 6 months or so.

AYE AYE KHIN

Aye Aye Khin has successfully obtained her Ph.DDegree in Agribusiness and worked as a PostDoctoral Research Fellow at Universiti Putra Malaysia(UPM) in 2010. In 2011, she has joined as a Lecturer inMultimedia University (MMU), Cyberjaya, Malaysia anduntil to now.

978-3-8465-1546-4

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, E. Fook Chong, Z. M

ohamed