Crude Palm Oil Price ModellingA Comparison of Time Series Model

Abang Mohammad Hudzaifah, Abang Shakawi (2021) Crude Palm Oil Price ModellingA Comparison of Time Series Model. A variety of methods have been developed to model palm oil prices due to its rapid changes over time. The price modelling represents valuable and fundamental information to direct and indirect traders in fats and oils market. This study focuses on compari, 43 (1). pp. 9-20. ISSN 0126-9003

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Abstract

A variety of methods have been developed to model palm oil prices due to its rapid changes over time. The price modelling represents valuable and fundamental information to direct and indirect traders in fats and oils market. This study focuses on comparing the performances of two time series approaches which are the univariate and multivariate analysis in modeling the prices of palm oil. The univariate analysis produces Autoregressive Integrated Moving Average (ARIMA) while the multivariate analysis produces Autoregressive Distributed Lag (ARDL) model. This study uses monthly prices of crude palm oil as well as monthly production of crude palm oil, monthly closing stock of crude palm oil, monthly export and import of crude palm oil from January 2000 until December 2013. The findings show that production and export have positive impact on price while import and stock have negative impact on price of palm oil. This study implies that the government should reduce the import and closing stock of palm oil to upturn its price. For future recommendation, other factors that might affect the price of palm oil such as yield and oil extraction rate should be integrated by other researcher.

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