Title: Short-term and long-term price forecasting models for the future exchange of Malaysian natural rubber market
Authors: Aye Aye Khin; Seethaletchumy Thambiah; Kevin Low Lock Teng
Addresses: Faculty of Accountancy and Management (FAM), Universiti Tunku Abdul Rahman (UTAR), Jalan Sungai Long, Bandar Sungai Long, 43000 Kajang, Kuala Lumpur, Selangor DE, Malaysia ' Faculty of Management (FOM), Multimedia University (MMU), Cyberjaya, Persiaran Multimedia, 63100 Cyberjaya, Selangor DE, Malaysia ' Faculty of Accountancy and Management (FAM), Universiti Tunku Abdul Rahman (UTAR), Jalan Sungai Long, Bandar Sungai Long, 43000 Kajang, Kuala Lumpur, Selangor DE, Malaysia
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.
Keywords: short-term and long-term; price forecasting models; simultaneous system equation; VECM; natural rubber; Malaysia.
International Journal of Agricultural Resources, Governance and Ecology, 2017 Vol.13 No.1, pp.21 - 42
Accepted: 28 Nov 2016
Published online: 02 May 2017 *