Crude_Palm_Oil_Price_Forecasting_Box-Jenkins_Approach[1].pdf

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1、Pertanika9(3),359-367CrudePalmOilPriceForecasting:Box-JenkinsApproachFATIMAHMOHD.ARSHADandROSLANA.GHAFFAR*DepartmentofAgriculturalEconomics,FacultyofEconomicsandManagement,UniversityPertanianMalaysia,43400Serdang,Selangor,Malaysia.Keywords:Crudepalmoilprice;univariate;identification;esti

2、mation;diagnosis.ABSTRAKModelunivariateyangdiC￡ptaolehBoxjenkinstelahdigunakanuntukmeramalhargabulananminyakkelapasawitmentah.Modelyangtelahdikenalpastisesuaiuntukramalamadalah(0,2,1)(0,1,1)6'Modelinimenunjukkanbahawasiridatahargaminyakkelapasawitmentahiaitutakpegundanmengandungiunsur-un

3、surgandaan,menyarankankewujudanprosespuratabergerakModelARIMAyangdikenalpastimenjadikansiridatakepadabercorakstokastik,membolehkanmodelinimeramalhargaminyakkelapamentahdalamjangkamasapendek.ABSTRACTAunivariateARIMAmodeldevelopedbyBoxjenkinswasutilisedtoforecasttheshort-runmonthlypriceofc

4、rudepalmoil.Theappropriatemodelforforecastingwasfoundtobe(0,2,1)(0,1,1)6'Thismodelindicatesthattheoriginalcrudepalmoilseriesisnon-stationaryandcontainssomeelementsofmultipliC￡ty,henceinheritingmovingaverageprocess.TheidentifiedARIMAmodelinducedthedataseriesintoastochasticone,makingitasui

5、tablemodelforforecastingcrudepalmoilpricesintheshortterm.INTRODUCTIONThereare,ofcourse,manywaystogenerateprediction,rangingincomplexityanddataForecastingconsistsbasicallyofusingdatarequirementsfromintuitivejudgementsthroughtopredictfuturevaluesforgivenvariablestotimeseriesanalysistoecono

6、metricmodels1.Thefacilitatemacroandmicroleveldecision?lattertwoapproachesproducewhatTheil(1966)making.InthecaseofMalaysia'scrudepalmoil,referred.toas"scientificforecasts",inthatitispriceforecastsrepresentvaluableandfunda?formulatedasaverifiablepredictionfromanmentalinformationtodirectand

7、indirectexplicitlystatedmethodwhichcanbereproduc?tradersinfatsandoilsmarket,andtofinanciers,ed~.Aprimegoalofforecastingstudiesistoproducersandmanufacturersandpolicy,assessthefactorsinfluencingsupplyanddemandmakers.Over3mnMTofpalmkerneloilandbydevelopingestimatesofcoeffici