The volatility of Thai rice price

• Main Authors: Abdul Hamid, Baharom, Radam, Alias, Habibullah, Muzafar Shah, Mohd Tahir, Hirnissa
• 格式: Article
• 語言: English
• 出版: 2009
• 在線閱讀: http://psasir.upm.edu.my/id/eprint/17365/1/The%20volatility%20of%20Thai%20Rice%20price.pdf; http://psasir.upm.edu.my/id/eprint/17365/

This study was conducted to explore the varying volatility of rice price for Thailand from the period of 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 p...