Abstract

Thailand is a leading producer and exporter of rubber in the world market. The interdependencies and volatility of Thai rubber price return with climatic factors (precipitation and temperature), exchange rate, and crude oil market returns are determined in this paper. Vector autoregressive moving average process with generalized autoregressive conditional heteroscedasticity (VARMA-GARCH), VARMA with generalized autoregressive conditional heteroscedasticity (VARMA-AGARCH), and copula-based GARCH models were employed for the analyses. The results demonstrated the interdependencies of Thai rubber price return with dollar and crude oil returns as well as with crude oil return and climatic factors in the VARMA-AGARCH and the copula-based GARCH models, respectively. We conclude that the volatility of Thai rubber price return is linked with volatility in the exchange rate and crude oil markets as well as climatic factors. Thus, stakeholders in the rubber industry should consider movements in those markets when forecasting Thai rubber price returns. Using a set of robust approaches is also recommended to obtain a complete picture of the volatilities and interdependencies of the asset markets.

Publication Date

2012-01-01

Publication Title

Journal of Financial Review

Volume

6

Issue

2

Publisher

Wiley

ISSN

2077-0081

Embargo Period

2024-11-25

First Page

1

Last Page

20

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