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Jurnal Ekonomi Malaysia

52 (3) 2018 247 – 259

Crude Palm Oil Price Forecasting in Malaysia: An Econometric Approach
Peramalan Harga Minyak Sawit Mentah di Malaysia: Satu Pendekatan Ekonometrik

Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia
43600 UKM Bangi Selangor
MALAYSIA

nrlin@ukm.edu.my

Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia
43600 UKM Bangi Selangor
MALAYSIA

hakimahnur@hotmail.com

Fakulti Ekonomi dan Pengurusan
Universiti Kebangsaan Malaysia
43600 UKM Bangi Selangor
MALAYSIA

vanessa91.sham@gmail.com

Fakulti Perniagaan dan Pengurusan
Universiti Teknologi MARA (UiTM) Kedah
08400 Merbok, Kedah.
MALAYSIA

nurfakhzan@kedah.uitm.edu.my

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 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.

Keywords

ARDL; ARIMA; ARIMAX; crude palm oil prices; forecasting

Author’s Acknowledgement

We would like to thank Malaysia Palm Oil Board (MPOB) for funding this research via MPOB-UKM Endowment Chair Research Grant (EP-2015-068).

http://dx.doi.org/10.17576/JEM-2018-5203-19
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Bibliography

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Khalid, , Ahmad Hamidi, , Thinagar, , & Marwan, (2018). Crude Palm Oil Price Forecasting in Malaysia: An Econometric Approach. Jurnal Ekonomi Malaysia, 52(3), 247–259. http://dx.doi.org/10.17576/JEM-2018-5203-19

@article{khalid2018crude,
  title={Crude Palm Oil Price Forecasting in Malaysia: An Econometric Approach},
  author={Khalid, Norlin and Ahmad Hamidi, Hakimah Nur and Thinagar, Sharmila and Marwan, Nur Fakhzan},
  journal={Jurnal Ekonomi Malaysia},
  volume={52},
  number={3},
  pages={247—259},
 

year={2018},
}

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