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The Volatility of Thai Rice Price

Author

Listed:
  • Baharom, A.H.
  • Radam, Alias
  • Habibullah, M.S.
  • Hirnissa, M.T

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).

Suggested Citation

  • Baharom, A.H. & Radam, Alias & Habibullah, M.S. & Hirnissa, M.T, 2009. "The Volatility of Thai Rice Price," MPRA Paper 14113, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:14113
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    File URL: https://mpra.ub.uni-muenchen.de/14113/1/MPRA_paper_14113.pdf
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    References listed on IDEAS

    as
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    3. Dana, Julie & Gilbert, Christopher L. & Shim, Euna, 2006. "Hedging grain price risk in the SADC: Case studies of Malawi and Zambia," Food Policy, Elsevier, vol. 31(4), pages 357-371, August.
    4. Ho, Jun Seong & Lewis, James B. & Han-Rog, Kang, 2008. "Korean Expansion and Decline from the Seventeenth to the Nineteenth Century: A View Suggested by Adam Smith," The Journal of Economic History, Cambridge University Press, vol. 68(1), pages 244-282, March.
    5. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    6. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    7. David Dawe, 2008. "Can Indonesia Trust The World Rice Market?," Bulletin of Indonesian Economic Studies, Taylor & Francis Journals, vol. 44(1), pages 115-132.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Burhan Ahmad & Ole Gjølberg & Mubashir Mehdi, 2017. "Spatial Differences in Rice Price Volatility:A Case Study of Pakistan 1994–2011," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 56(3), pages 265-289.
    2. Jittima Singvejsakul & Yaovarate Chaovanapoonphol & Budsara Limnirankul, 2021. "Modeling the Price Volatility of Cassava Chips in Thailand: Evidence from Bayesian GARCH-X Estimates," Economies, MDPI, vol. 9(3), pages 1-10, September.

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    More about this item

    Keywords

    Keywords: Asymmetry; conditional heteroscedasticity; volatility; world rice price;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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