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Short-term and long-term price forecasting models for the future exchange of Malaysian natural rubber market

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  • Aye Aye Khin
  • Seethaletchumy Thambiah
  • Kevin Low Lock Teng

Abstract

Kuala Lumpur rubber market drifted uncertainly within a narrow range. Market situation provided upward pressure on prices and producer and consumer interest was poor coupled with weak prices in the regional markets. The objectives of the study are: (a) to estimate the relationship between natural rubber (NR) price and supply, demand, and stock, while some other factors of crude oil price and exchange rate by using simultaneous supply-demand and price system equation and Vector Error Correction Method (VECM); (b) to forecast the short-term and long-term NR price; and (c) to compare and evaluate the price forecasting models. Firstly, the data was analysed by Ferris and Engle-Granger's procedure; secondly, both price forecasting methodology were tested by Pindyck-Rubinfeld and Makridakis's procedure. The result shows that VECM model is more efficient using quarterly data; a short-term price forecast is decreasing and a long-term price forecast is predicted to increasing trend of the Malaysian rubber market.

Suggested Citation

  • Aye Aye Khin & Seethaletchumy Thambiah & Kevin Low Lock Teng, 2017. "Short-term and long-term price forecasting models for the future exchange of Malaysian natural rubber market," International Journal of Agricultural Resources, Governance and Ecology, Inderscience Enterprises Ltd, vol. 13(1), pages 21-42.
    • Handle: RePEc:ids:ijarge:v:13:y:2017:i:1:p:21-42
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    Cited by:

    1. Reaz, Md & Mahat, Fauziah & Dahir, Ahmed Mohamed & Sahabuddin, Mohammad & Al Mahi, Abu Saad Md Masnun, 2017. "Exchange rate volatility and financial performance of agriculture firms in Malaysia: An empirical analysis using GARCH, wavelet and system GMM," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 13(3).

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