Time series ARIMA models for daily price of palm oil

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Palm oil is deemed as one of the most important commodity that forms the economic backbone of Malaysia. Modeling and forecasting the daily price of palm oil is of great interest for Malaysia's economic growth. In this study, time series ARIMA models are used to fit the daily price of palm oil. The Akaike Infromation Criterion (AIC), Akaike Infromation Criterion with a correction for finite sample sizes (AICc) and Bayesian Information Criterion (BIC) are used to compare between different ARIMA models being considered. It is found that ARIMA(1,2,1) model is suitable for daily price of crude palm oil in Malaysia for the year 2010 to 2012.

Original languageEnglish
Title of host publication2nd ISM International Statistical Conference 2014, ISM 2014
Subtitle of host publicationEmpowering the Applications of Statistical and Mathematical Sciences
EditorsNor Aida Zuraimi Md Noar, Roslinazairimah Zakaria, Wan Nur Syahidah Wan Yusoff, Mohd Sham Mohamad, Mohd Rashid Ab Hamid
PublisherAmerican Institute of Physics Inc.
Pages283-288
Number of pages6
ISBN (Electronic)9780735412811
DOIs
Publication statusPublished - 1 Jan 2015
Event2nd ISM International Statistical Conference 2014: Empowering the Applications of Statistical and Mathematical Sciences, ISM 2014 - Kuantan, Pahang, Malaysia
Duration: 12 Aug 201414 Aug 2014

Publication series

NameAIP Conference Proceedings
Volume1643
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Other

Other2nd ISM International Statistical Conference 2014: Empowering the Applications of Statistical and Mathematical Sciences, ISM 2014
CountryMalaysia
CityKuantan, Pahang
Period12/8/1414/8/14

Fingerprint

Malaysia
oils
economics
commodities
crude oil
forecasting

Keywords

  • ARIMA Models
  • Daily Price
  • Palm Oil

ASJC Scopus subject areas

  • Physics and Astronomy(all)

Cite this

Mohd Ariff, N., Zamhawari, N. H., & Abu Bakar, M. A. (2015). Time series ARIMA models for daily price of palm oil. In N. A. Z. M. Noar, R. Zakaria, W. N. S. W. Yusoff, M. S. Mohamad, & M. R. A. Hamid (Eds.), 2nd ISM International Statistical Conference 2014, ISM 2014: Empowering the Applications of Statistical and Mathematical Sciences (pp. 283-288). (AIP Conference Proceedings; Vol. 1643). American Institute of Physics Inc.. https://doi.org/10.1063/1.4907457

Time series ARIMA models for daily price of palm oil. / Mohd Ariff, Noratiqah; Zamhawari, Nor Hashimah; Abu Bakar, Mohd Aftar.

2nd ISM International Statistical Conference 2014, ISM 2014: Empowering the Applications of Statistical and Mathematical Sciences. ed. / Nor Aida Zuraimi Md Noar; Roslinazairimah Zakaria; Wan Nur Syahidah Wan Yusoff; Mohd Sham Mohamad; Mohd Rashid Ab Hamid. American Institute of Physics Inc., 2015. p. 283-288 (AIP Conference Proceedings; Vol. 1643).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Mohd Ariff, N, Zamhawari, NH & Abu Bakar, MA 2015, Time series ARIMA models for daily price of palm oil. in NAZM Noar, R Zakaria, WNSW Yusoff, MS Mohamad & MRA Hamid (eds), 2nd ISM International Statistical Conference 2014, ISM 2014: Empowering the Applications of Statistical and Mathematical Sciences. AIP Conference Proceedings, vol. 1643, American Institute of Physics Inc., pp. 283-288, 2nd ISM International Statistical Conference 2014: Empowering the Applications of Statistical and Mathematical Sciences, ISM 2014, Kuantan, Pahang, Malaysia, 12/8/14. https://doi.org/10.1063/1.4907457
Mohd Ariff N, Zamhawari NH, Abu Bakar MA. Time series ARIMA models for daily price of palm oil. In Noar NAZM, Zakaria R, Yusoff WNSW, Mohamad MS, Hamid MRA, editors, 2nd ISM International Statistical Conference 2014, ISM 2014: Empowering the Applications of Statistical and Mathematical Sciences. American Institute of Physics Inc. 2015. p. 283-288. (AIP Conference Proceedings). https://doi.org/10.1063/1.4907457
Mohd Ariff, Noratiqah ; Zamhawari, Nor Hashimah ; Abu Bakar, Mohd Aftar. / Time series ARIMA models for daily price of palm oil. 2nd ISM International Statistical Conference 2014, ISM 2014: Empowering the Applications of Statistical and Mathematical Sciences. editor / Nor Aida Zuraimi Md Noar ; Roslinazairimah Zakaria ; Wan Nur Syahidah Wan Yusoff ; Mohd Sham Mohamad ; Mohd Rashid Ab Hamid. American Institute of Physics Inc., 2015. pp. 283-288 (AIP Conference Proceedings).
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