Baharom, A.H. and Radam, Alias and Habibullah, M.S. and Hirnissa, M.T (2009): The Volatility of Thai Rice Price.
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This study was conducted to explore the varying volatility of world rice price for the period 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 world rice price. Furthermore the EGARCH model was able to describe the asymmetric volatility in the world price of rice. It was further discovered that the positive shocks (good news) is more dominant than the negative shock (bad news).
|Item Type:||MPRA Paper|
|Original Title:||The Volatility of Thai Rice Price|
|Keywords:||Keywords: Asymmetry, conditional heteroscedasticity, volatility,world rice price|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level; Inflation; Deflation
|Depositing User:||Baharom Abdul Hamid|
|Date Deposited:||17. Mar 2009 04:50|
|Last Modified:||17. Feb 2013 20:14|
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