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The Volatility of Thai Rice Price

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Author Info
Baharom, A.H.
Radam, Alias
Habibullah, M.S.
Hirnissa, M.T

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Abstract

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).

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File URL: http://mpra.ub.uni-muenchen.de/14113/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 14113.

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Date of creation: 13 Jan 2009
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Handle: RePEc:pra:mprapa:14113

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Related research
Keywords: Keywords: Asymmetry; conditional heteroscedasticity; volatility; world rice price;

Find related papers by JEL classification:
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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This page was last updated on 2009-11-28.

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