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Crude Palm Oil Price Forecasting: Box-Jenkins Approach


Mohd Arshad, Fatimah and A. Ghaffar, Roslan (1986) Crude Palm Oil Price Forecasting: Box-Jenkins Approach. Pertanika, 9 (3). pp. 359-367.


A univariate ARIMA model developed by Box-jenkins was utilised to forecast the short-run monthly price of crude palm oil. The appropriate model for forecasting was found to be (0, 2, 1) (0, 1, 1) 6' This model indicates that the original crude palm oil series is non-stationary and contains some elements of multipliCity, hence inheriting moving average process. The identified ARIMA model induced the data series into a stochastic one, making it a suitable model for forecasting crude palm oil prices in the short term.

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Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
Keywords: Crude palm oil price, univariate, identification, estimation, diagnosis
Depositing User: Nur Izyan Mohd Zaki
Date Deposited: 12 Nov 2009 07:53
Last Modified: 27 May 2013 07:00
URI: http://psasir.upm.edu.my/id/eprint/2365
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