Peramalan harga minyak sawit mentah malaysia: Satu pendekatan ekonometrik

Translated title of the contribution: Crude palm oil price forecasting in Malaysia: An econometric approach

Norlin Khalid, Hakimah Nur Ahmad Hamidi, Sharmila Thinagar, Nur Fakhzan Marwan

Research output: Contribution to journalArticle

Abstract

This paper aims to forecast the performance of crude palm oil price (CPO) in Malaysia by comparing several econometric forecasting techniques, namely Autoregressive Distributed Lag (ARDL), Autoregressive Integrated Moving Average (ARIMA) and Autoregressive Integrated Moving Average with exogenous inputs (ARIMAX). Using monthly time series data set spanning from 2008 to 2017, the main results revealed that ARIMAX model is the most accurate and the most efficient model as compared to ARDL and ARIMA in forecasting the crude palm oil price. The results also show that the spot price of palm oil is highly influenced by stock of palm oil, crude petroleum oil price and soybean oil price. The empirical findings provide some insights for decision making and policy implementations, including the formulation of strategies to help the industry in dealing with the price changes and thus enable the Malaysian palm oil industry to continue dominating the international market.

Original languageMalay
Pages (from-to)263-278
Number of pages16
JournalJurnal Ekonomi Malaysia
Volume52
Issue number3
DOIs
Publication statusPublished - 1 Jan 2018

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Palm oil
Price forecasting
Malaysia
Oil prices
Econometrics
Integrated
Moving average
Distributed lag
Oil industry
Spot price
Time series data
Decision making
Petroleum
Econometric forecasting
International markets
Policy implementation
Price changes
Soybean
Industry

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

Cite this

Peramalan harga minyak sawit mentah malaysia : Satu pendekatan ekonometrik. / Khalid, Norlin; Hamidi, Hakimah Nur Ahmad; Thinagar, Sharmila; Marwan, Nur Fakhzan.

In: Jurnal Ekonomi Malaysia, Vol. 52, No. 3, 01.01.2018, p. 263-278.

Research output: Contribution to journalArticle

Khalid, Norlin ; Hamidi, Hakimah Nur Ahmad ; Thinagar, Sharmila ; Marwan, Nur Fakhzan. / Peramalan harga minyak sawit mentah malaysia : Satu pendekatan ekonometrik. In: Jurnal Ekonomi Malaysia. 2018 ; Vol. 52, No. 3. pp. 263-278.
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