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The volatility of Thai rice price

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 p...

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Main Authors: Abdul Hamid, Baharom, Radam, Alias, Habibullah, Muzafar Shah, Mohd Tahir, Hirnissa
Format: Article
Language:English
Published: 2009
Online Access:http://psasir.upm.edu.my/id/eprint/17365/1/The%20volatility%20of%20Thai%20Rice%20price.pdf
http://psasir.upm.edu.my/id/eprint/17365/
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spelling my.upm.eprints.173652019-10-23T06:56:09Z http://psasir.upm.edu.my/id/eprint/17365/ The volatility of Thai rice price Abdul Hamid, Baharom Radam, Alias Habibullah, Muzafar Shah Mohd Tahir, Hirnissa 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). 2009 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/17365/1/The%20volatility%20of%20Thai%20Rice%20price.pdf Abdul Hamid, Baharom and Radam, Alias and Habibullah, Muzafar Shah and Mohd Tahir, Hirnissa (2009) The volatility of Thai rice price. Integration & Dissemination, 4. pp. 70-76. ISSN 1985-3300
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description 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).
format Article
author Abdul Hamid, Baharom
Radam, Alias
Habibullah, Muzafar Shah
Mohd Tahir, Hirnissa
spellingShingle Abdul Hamid, Baharom
Radam, Alias
Habibullah, Muzafar Shah
Mohd Tahir, Hirnissa
The volatility of Thai rice price
author_facet Abdul Hamid, Baharom
Radam, Alias
Habibullah, Muzafar Shah
Mohd Tahir, Hirnissa
author_sort Abdul Hamid, Baharom
title The volatility of Thai rice price
title_short The volatility of Thai rice price
title_full The volatility of Thai rice price
title_fullStr The volatility of Thai rice price
title_full_unstemmed The volatility of Thai rice price
title_sort volatility of thai rice price
publishDate 2009
url http://psasir.upm.edu.my/id/eprint/17365/1/The%20volatility%20of%20Thai%20Rice%20price.pdf
http://psasir.upm.edu.my/id/eprint/17365/
_version_ 1651869014424551424
score 13.211869

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