Tabiat kemeruapan perubahan harga getah asli Malaysia

This study presents the trend of volatility in natural rubber price of Malaysia for Ribbed Smoked Sheet Grade 1 (RSS 1) and Standard Malaysian Rubber Grade 20 (SMR 20). The price changes in RSS 1 and SMR 20 indicate that the empirical distributions have heavy tails and sharp peaks at the center comp...

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Main Authors:	Zaidi Isa, Norhayati Abdul Jamil
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2004
Online Access:	http://journalarticle.ukm.my/296/ http://journalarticle.ukm.my/296/ http://journalarticle.ukm.my/296/1/1.pdf

id	ukm-296
recordtype	eprints
spelling	ukm-2962016-12-14T06:26:57Z http://journalarticle.ukm.my/296/ Tabiat kemeruapan perubahan harga getah asli Malaysia Zaidi Isa, Norhayati Abdul Jamil, This study presents the trend of volatility in natural rubber price of Malaysia for Ribbed Smoked Sheet Grade 1 (RSS 1) and Standard Malaysian Rubber Grade 20 (SMR 20). The price changes in RSS 1 and SMR 20 indicate that the empirical distributions have heavy tails and sharp peaks at the center compared to the normal distributions. In addition,the variance underlying these price variables may be varying over time. Therefore, the data cannot be modeled as standard time series model with assumption variance is constant over time. Alternatively, ARCH and GARCH model were used. One of the parts that many researchers are interested is the asymmetry (leverage effect) in the variance. In this study, this part has been captured by two model of the ARCH family: the EGARCH and GJRGARCH. Result indicates that both EGARCH and GJR-GARCH models did not generally support asymmetry in the pattern of volatility of both RSS 1 and SMR 20. After comparing of these four models, it can be shown that the GARCH (1,1) model fit to data very satisfactorily. Penerbit Universiti Kebangsaan Malaysia 2004 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/296/1/1.pdf Zaidi Isa, and Norhayati Abdul Jamil, (2004) Tabiat kemeruapan perubahan harga getah asli Malaysia. Jurnal Ekonomi Malaysia, 38 . pp. 63-79. ISSN 0127-1962 http://www.ukm.my/penerbit
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	This study presents the trend of volatility in natural rubber price of Malaysia for Ribbed Smoked Sheet Grade 1 (RSS 1) and Standard Malaysian Rubber Grade 20 (SMR 20). The price changes in RSS 1 and SMR 20 indicate that the empirical distributions have heavy tails and sharp peaks at the center compared to the normal distributions. In addition,the variance underlying these price variables may be varying over time. Therefore, the data cannot be modeled as standard time series model with assumption variance is constant over time. Alternatively, ARCH and GARCH model were used. One of the parts that many researchers are interested is the asymmetry (leverage effect) in the variance. In this study, this part has been captured by two model of the ARCH family: the EGARCH and GJRGARCH. Result indicates that both EGARCH and GJR-GARCH models did not generally support asymmetry in the pattern of volatility of both RSS 1 and SMR 20. After comparing of these four models, it can be shown that the GARCH (1,1) model fit to data very satisfactorily.
format	Article
author	Zaidi Isa, Norhayati Abdul Jamil,
spellingShingle	Zaidi Isa, Norhayati Abdul Jamil, Tabiat kemeruapan perubahan harga getah asli Malaysia
author_facet	Zaidi Isa, Norhayati Abdul Jamil,
author_sort	Zaidi Isa,
title	Tabiat kemeruapan perubahan harga getah asli Malaysia
title_short	Tabiat kemeruapan perubahan harga getah asli Malaysia
title_full	Tabiat kemeruapan perubahan harga getah asli Malaysia
title_fullStr	Tabiat kemeruapan perubahan harga getah asli Malaysia
title_full_unstemmed	Tabiat kemeruapan perubahan harga getah asli Malaysia
title_sort	tabiat kemeruapan perubahan harga getah asli malaysia
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2004
url	http://journalarticle.ukm.my/296/ http://journalarticle.ukm.my/296/ http://journalarticle.ukm.my/296/1/1.pdf
first_indexed	2023-09-18T19:01:38Z
last_indexed	2023-09-18T19:01:38Z
_version_	1777403113239478272

Tabiat kemeruapan perubahan harga getah asli Malaysia

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