The Volatility of Thai Rice Price

A.H. Baharom, Alias Radam, Muzafar Shah Habibullah () and M.T Hirnissa
Authors registered in the RePEc Author Service: Baharom Abdul Hamid ()

MPRA Paper from University Library of Munich, Germany

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).

Keywords: Keywords: Asymmetry; conditional heteroscedasticity; volatility; world rice price (search for similar items in EconPapers)
JEL-codes: C52 E31 (search for similar items in EconPapers)
Date: 2009-01-13

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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:14113

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