A Comparison of the Forecasts for Rubber Prices Using ARIMA and GARCH Models

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University of the Thai Chamber of Commerce. Journal Editorial Office
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Chulalongkorn University Printing House
University of the Thai Chamber of Commerce
Date Issued
2012
ISSN
0125-2437
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Text::Journal::Journal article
Abstract
This research aims to compare the suitability of rubber price forecasts using Autoregressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. The forecasts were compared by considering Root Mean Square Error (RMSE) and Mean Absolute Percent Error (MAPE). Results show that the forecasts for rubber prices from ARIMA and GARCH models have a similar RMSE and MAPE.
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University of the Thai Chamber of Commerce
Bibliographic Citation
Luckhana Saothayanun, Yupin Kanjanasakda, Boonying Somrang, Sunee Taweesakulvatchara (2012) A Comparison of the Forecasts for Rubber Prices Using ARIMA and GARCH Models. University of the Thai Chamber of Commerce Journal Vol.32 No.3.
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