Abdul Hamid, Baharom and Radam, Alias and Habibullah, Muzafar Shah and Hirnissa, M.T. (2009) The volatility of Thai Rice price. Integration & Dissemination, 4 (-). pp. 70-76. ISSN 1985-3300
Full text not available from this repository.
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 |
Repository Staff Only: item control page
Document Download Statistics
This item has been downloaded for since 14 Nov 2012 05:29.
