Publication:
The volatility of Thai rice price
| DC Field | Value | |
|---|---|---|
| dc.contributor.author | Alias Radam | |
| dc.contributor.author | Muzafar Shah Habibullah | |
| dc.contributor.author | Hirnissa Mohd Tahir | |
| dc.contributor.author | Baharom Abdul Hamid | |
| dc.date.accessioned | 2016-05-30 | |
| dc.date.accessioned | 2016-07-25T20:14:04Z | |
| dc.date.available | 2016-05-30 | |
| dc.date.available | 2016-07-25T20:14:04Z | |
| dc.date.disclosure | 2016-06-10 | |
| dc.date.issued | 2009 | |
| dc.description.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). | |
| dc.identifier.citation | Abdul Hamid, B., Radam, A., Habibullah, M. S., & Mohd Tahir, H. (2009). The volatility of Thai rice price. Research Bulletin of Faculty of Economics and Management, 4, 70-76. | |
| dc.identifier.uri | https://ikr.inceif.edu.my/handle/INCEIF/1507 | |
| dc.language | English | |
| dc.language.iso | eng | |
| dc.publisher | UPM Press | |
| dc.rights | 2009. UPM Press | |
| dc.source | CRP | |
| dc.subject | Asymmetry | |
| dc.subject | Conditional heteroscedasticity | |
| dc.subject | Volatility | |
| dc.subject | World rice price | |
| dc.title | The volatility of Thai rice price | |
| dc.type | Industry Article | |
| dlc.maintopic | Conventional finance | |
| dspace.entity.type | Publication | |
| ikr.doctype | Scholarly Works | |
| ikr.topic.maintopic | Conventional finance | |
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