Sains Ma1aysiana 26(1): 125-132 (1997)                                                                      Pengajian Kuantitatif/

                                                                                                                                                Quantitative Studies

Structural Change of Palm Oil Price Data

Lalang Buana

The Indonesian Oil Palm Research Institute

Dept of Statistics, Faculty of Mathematical Sciences

Universiti Kebangsaan Malaysia

43600 UKM Bangi, Se1angor D.E.

Ahmad Mahir Razali & Zainodin Haji Jubok

Jabatan Statistik, Faku1ti Sains Matematik

Universiti Kebangsaan Malaysia

43600 UKM Bangi, Se1angor D.E.

emai1: zainodin@pkrisc.cc.ukm.my

ABSTRACT

The changes on the vegetables oil trading environment might change the foundation of palm oil pricing and induce a structural change to the price model. Failing to take it account the structural change in a data series might lead to misspecification of the actual model. This study, however, showed that structural change was not present in the monthly, January 1983 to July 1995, palm oil price, but it was present on the unconditional variance. The underlying model of this series was ARIMA (3, 1, 0) with ARCH (1). The critical change of the unconditional variance took place in April 1989.

ABSTRAK

Perubahan dalam suasana perdagangan minyak sayuran boleh mengubah asas harga minyak kelapa sawit. Seterusnya ia merangsang perubahan dalam struktur model harga minyak tersebut. Kegagalan untuk mengambil kira perubahan struktur dalam siri data menjadikan model itu tidak menepati spesifikasi daripada model sebenar. Kajian ini mendapati bahawa perubahan struktur tidak berlaku bagi data harga minyak sawit dari Januari 1983 hingga Julai 1995. Tetapi perubahan berlaku pada varians tidak bersyaratnya. Model asas bagi siri ini adalah ARIMA (3,1,0) dengan ARCH(1). Didapati juga bahawa perubahan yang kritikal bagi varians tidak bersyarat berlaku pada bulan April 1989.

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