Record Details

Tabiat Kemeruapan Perubahan Harga Getah Asli Malaysia

Jurnal Ekonomi Malaysia

View Archive Info
 
 
Field Value
 
Title Tabiat Kemeruapan Perubahan Harga Getah Asli Malaysia
 
Creator Isa, Zaidi
Abdul Jamil, Norhayati
 
Subject —
—
—
 
Description ABSTRAKKajian ini akan membincangkan corak kemeruapan harga bagi dua kategori getah asli iaitu Getah Asap Berbunga Gred Satu (RSS 1) dan Getah Mutu Malaysia Gred 20 (SMR 20). Perubahan harga RSS 1 dan SMR 20 menunjukkan taburan empirik kedua-dua set data mempunyai ekor yang tebal dan puncak yang lebih tajam berbanding taburan normal. Selain itu, varians bagi kedua-dua set pembolehubah sentiasa berubah merentasi masa. Keadaan ini menyebabkan andaian klasik tidak dipenuhi, seterusnya model siri masa biasa dengan andaian varians malar tidak boleh diguna pakai untuk tujuan analisis. Sebagai alternatif, model ARCH dan GARCH digunakan. Selain daripada itu, model EGARCH dan GJR-GARCH digunakan bagi melihat kewujudan sifat tidak simetri dalamkemeruapan harga RSS 1 dan SMR 20. Hasil yang diperolehi menunjukkan sifat tidak simetri tidak wujud. Perbandingan yang dilakukan terhadap keempat-empat model yang digunakan menunjukkan model GARCH (1,1)merupakan model terbaik dalam penyuaian data RSS 1 dan SMR 20.Kata kunci: kemeruapan harga; ARCH; GARCH; getah asliABSTRACTThis 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.
 
Publisher Universiti Kebangsaan Malaysia
 
Contributor —
 
Date 2012-12-07
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
—
 
Format application/pdf
 
Identifier http://ejournal.ukm.my/jem/article/view/1643
 
Source Jurnal Ekonomi Malaysia; Vol 38 (2004): Jurnal Ekonomi Malaysia
0126-1962
 
Language eng
 
Relation http://ejournal.ukm.my/jem/article/view/1643/1408
 
Coverage —
—
—