Malaysian crude palm oil market volatility: a GARCH approach

Malaysian crude palm oil market volatility: a GARCH approach

This study aims to examine the volatility of Malaysian Crude Palm Oil (CPO) market for it has important implication to both business communities and policy makers. This study adopted the GARCH (1,1) model and the result of the finding exhibited persistent volatility as well as volatility clustering...

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Main Authors: Haron, Razali, Ayojimi, Salami Monsurat
Format: Article
Language:English
Published: Faculty of Economics and Management, Universiti Putra Malaysia 2015
Subjects:
HG Finance
Online Access:http://irep.iium.edu.my/46914/
http://irep.iium.edu.my/46914/
http://irep.iium.edu.my/46914/1/46904.pdf
id iium-46914
recordtype eprints
spelling iium-469142017-10-12T01:25:01Z http://irep.iium.edu.my/46914/ Malaysian crude palm oil market volatility: a GARCH approach Haron, Razali Ayojimi, Salami Monsurat HG Finance This study aims to examine the volatility of Malaysian Crude Palm Oil (CPO) market for it has important implication to both business communities and policy makers. This study adopted the GARCH (1,1) model and the result of the finding exhibited persistent volatility as well as volatility clustering in Malaysian CPO market. The persistent volatility implies that the percentage of market volatility is closer to unity. This reflects the frequency of occurrence of the CPO market volatility while volatility clustering provides useful information on the broadness of the shock. Adequate understanding of the degree of volatility of the market can instigate informed decision by policy makers which may perhaps mitigate persistency of uncertainty of returns. Business communities on the other hand will be consistently alert on the voice of the market and ready to make sound decision on the events of the market. At the same time, the importance of hedging in Malaysian CPO futures market is empirically confirmed. This study contributes to the understanding on commodity market volatility by quantifying the half-life of decay of the shock in the market. Faculty of Economics and Management, Universiti Putra Malaysia 2015-12-31 Article PeerReviewed application/pdf en http://irep.iium.edu.my/46914/1/46904.pdf Haron, Razali and Ayojimi, Salami Monsurat (2015) Malaysian crude palm oil market volatility: a GARCH approach. International Journal of Economics and Management, 9 (S). pp. 103-120. ISSN 1823-836X http://econ.upm.edu.my/ijem/vol9noS/6.%20Malaysian%20Crude%20Palm%20Oil%20Market%20Volatility.pdf
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
topic HG Finance
spellingShingle HG Finance
Haron, Razali
Ayojimi, Salami Monsurat
Malaysian crude palm oil market volatility: a GARCH approach
description This study aims to examine the volatility of Malaysian Crude Palm Oil (CPO) market for it has important implication to both business communities and policy makers. This study adopted the GARCH (1,1) model and the result of the finding exhibited persistent volatility as well as volatility clustering in Malaysian CPO market. The persistent volatility implies that the percentage of market volatility is closer to unity. This reflects the frequency of occurrence of the CPO market volatility while volatility clustering provides useful information on the broadness of the shock. Adequate understanding of the degree of volatility of the market can instigate informed decision by policy makers which may perhaps mitigate persistency of uncertainty of returns. Business communities on the other hand will be consistently alert on the voice of the market and ready to make sound decision on the events of the market. At the same time, the importance of hedging in Malaysian CPO futures market is empirically confirmed. This study contributes to the understanding on commodity market volatility by quantifying the half-life of decay of the shock in the market.
format Article
author Haron, Razali
Ayojimi, Salami Monsurat
author_facet Haron, Razali
Ayojimi, Salami Monsurat
author_sort Haron, Razali
title Malaysian crude palm oil market volatility: a GARCH approach
title_short Malaysian crude palm oil market volatility: a GARCH approach
title_full Malaysian crude palm oil market volatility: a GARCH approach
title_fullStr Malaysian crude palm oil market volatility: a GARCH approach
title_full_unstemmed Malaysian crude palm oil market volatility: a GARCH approach
title_sort malaysian crude palm oil market volatility: a garch approach
publisher Faculty of Economics and Management, Universiti Putra Malaysia
publishDate 2015
url http://irep.iium.edu.my/46914/
http://irep.iium.edu.my/46914/
http://irep.iium.edu.my/46914/1/46904.pdf
first_indexed 2023-09-18T21:06:46Z
last_indexed 2023-09-18T21:06:46Z
_version_ 1777410985573744640

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