Ahmad, Maizah Hura and Ping, Pungyean and Mahamed, Norizan (2014) Volatility modelling and forecasting of Malaysian crude palm oil prices. Applied Mathematical Sciences, 8 (121-12). pp. 6159-6169. ISSN 1312-885X
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Official URL: http://dx.doi.org/10.12988/ams.2014.48650
Abstract
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).
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | hybrid model, volatility |
| Subjects: | Q Science |
| Divisions: | Science |
| ID Code: | 63222 |
| Deposited By: | Siti Nor Hashidah Zakaria |
| Deposited On: | 18 Jun 2017 06:53 |
| Last Modified: | 18 Jun 2017 06:53 |
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