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The volatility of Thai Rice price.

Abdul Hamid, Baharom, Radam, Alias, Habibullah, Muzafar Shah and Hirnissa, M.T. (2009) The volatility of Thai Rice price. Integration & Dissemination, 4 (-). pp. 70-76. ISSN 1985-3300

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Abstract

This study was conducted to explore the varying volatility of rice price for Thailand from the period of 1961 to 2008 using monthly data. The paper provides estimates of two GARCH models, namely, GARCH and EGARCH which were used to capture the stochastic variation and asymmetries in the world rice price. The results indicate that EGARCH model gives better estimate of the volatility of thai rice price. Furthermore the EGARCH model was able to describe the asymmetric volatility in the thai price of rice. It was further discovered that the positive shocks (good news) is more dominant than the negative shock (bad news).

Item Type:Article
Keyword:Asymmetry; Conditional Heteroscedasticity; Volatility; Rice Price.
Subject:Rice - Thailand.
Subject:Rice - Economic aspects - Thailand.
Subject:Rice - Prices - Thailand.
Faculty or Institute:Faculty of Economics and Management
ID Code:17365
Deposited By: Emelda Mohd Hamid
Deposited On:14 Nov 2012 05:29
Last Modified:14 Nov 2012 05:29

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