The volatility of Thai Rice price.

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: Edit item detail

Document Download Statistics

This item has been downloaded for since 14 Nov 2012 05:29.

View statistics for "The volatility of Thai Rice price."


Universiti Putra Malaysia Institutional Repository

Universiti Putra Malaysia Institutional Repository is an on-line digital archive that serves as a central collection and storage of scientific information and research at the Universiti Putra Malaysia.

Currently, the collections deposited in the IR consists of Master and PhD theses, Master and PhD Project Report, Journal Articles, Journal Bulletins, Conference Papers, UPM News, Newspaper Cuttings, Patents and Inaugural Lectures.

As the policy of the university does not permit users to view thesis in full text, access is only given to the first 24 pages only.