Econometric Forecasting Models for Short Term Natural Rubber Prices: Economic Development of World Natural Rubber Industry Model,Used

Econometric Forecasting Models for Short Term Natural Rubber Prices: Economic Development of World Natural Rubber Industry Model,Used

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SKU: DADAX3846515469
Brand: LAP Lambert Academic Publishing
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This study presents a number of shortterm expost forecasts of single equation model, Multivariate Autoregressive Moving Average (MARMA) model, simultaneous supplydemand and price system equation model, and Autoregressive Integrated Moving Average (ARIMA) model, and ARCHtype models of natural rubber (NR) SMR20 (Standard Malaysia Rubber of grade 20) prices in the world NR market. The ARCHtype 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 expost forecasts. The results revealed that the forecasting performance of the simultaneous supplydemand and price system equation model was more efficient than single equation model, MARMA model and ARIMA model, and ARCHtype models for expost forecast in estimating the price of SMR20 in the next 6 months or so.

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