Universiti Teknologi Malaysia Institutional Repository

Volatility modelling and forecasting of Malaysian crude palm oil prices

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

Full text not available from this repository.

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 14:53
Last Modified:18 Jun 2017 14:53

Repository Staff Only: item control page