Building a Sustainable GARCH Model to Forecast Rubber Price: Modified Huber Weighting Function Approach
The unstable and uncertain nature of natural rubber prices makes them highly volatile and prone to outliers, which can have a significant impact on both modeling and forecasting. To tackle this issue, the author recommends a hybrid model that combines the autoregressive (AR) and Generalized Autoreg...
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University of Baghdad, College of Science for Women
2024-02-01
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| Series: | مجلة بغداد للعلوم |
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| Online Access: | https://bsj.uobaghdad.edu.iq/index.php/BSJ/article/view/7489 |
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| author | Intan Martina Md Ghani Hanafi A Rahim |
| author_facet | Intan Martina Md Ghani Hanafi A Rahim |
| author_sort | Intan Martina Md Ghani |
| collection | DOAJ |
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The unstable and uncertain nature of natural rubber prices makes them highly volatile and prone to outliers, which can have a significant impact on both modeling and forecasting. To tackle this issue, the author recommends a hybrid model that combines the autoregressive (AR) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models. The model utilizes the Huber weighting function to ensure the forecast value of rubber prices remains sustainable even in the presence of outliers. The study aims to develop a sustainable model and forecast daily prices for a 12-day period by analyzing 2683 daily price data from Standard Malaysian Rubber Grade 20 (SMR 20) in Malaysia. The analysis incorporates two dispersion measurements (IQR/3 and Sn) and three levels of IO contamination 0%, 10%, and 20%. The results indicate that using the Huber weighting function with the IQR/3 measurement to build the AR(1)-GARCH(2,1) model leads to better sustainability. These findings have the potential to enhance the GARCH model by modifying the weighting function of the M-estimator
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| format | Article |
| id | doaj-art-ba98ef113cd8492fb34ad01f76d014dc |
| institution | DOAJ |
| issn | 2078-8665 2411-7986 |
| language | English |
| publishDate | 2024-02-01 |
| publisher | University of Baghdad, College of Science for Women |
| record_format | Article |
| series | مجلة بغداد للعلوم |
| spelling | doaj-art-ba98ef113cd8492fb34ad01f76d014dc2025-08-20T02:51:24ZengUniversity of Baghdad, College of Science for Womenمجلة بغداد للعلوم2078-86652411-79862024-02-0121210.21123/bsj.2023.7489Building a Sustainable GARCH Model to Forecast Rubber Price: Modified Huber Weighting Function ApproachIntan Martina Md Ghani0Hanafi A Rahim 1Faculty of Ocean Engineering Technology and Informatics, Universiti Malaysia Terengganu, 21030 Kuala Nerus, Terengganu Darul Iman, Malaysia Faculty of Ocean Engineering Technology and Informatics, Universiti Malaysia Terengganu, 21030 Kuala Nerus, Terengganu Darul Iman, Malaysia The unstable and uncertain nature of natural rubber prices makes them highly volatile and prone to outliers, which can have a significant impact on both modeling and forecasting. To tackle this issue, the author recommends a hybrid model that combines the autoregressive (AR) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models. The model utilizes the Huber weighting function to ensure the forecast value of rubber prices remains sustainable even in the presence of outliers. The study aims to develop a sustainable model and forecast daily prices for a 12-day period by analyzing 2683 daily price data from Standard Malaysian Rubber Grade 20 (SMR 20) in Malaysia. The analysis incorporates two dispersion measurements (IQR/3 and Sn) and three levels of IO contamination 0%, 10%, and 20%. The results indicate that using the Huber weighting function with the IQR/3 measurement to build the AR(1)-GARCH(2,1) model leads to better sustainability. These findings have the potential to enhance the GARCH model by modifying the weighting function of the M-estimator https://bsj.uobaghdad.edu.iq/index.php/BSJ/article/view/7489 Autoregressive, Dispersion, Forecasting, GARCH, Huber |
| spellingShingle | Intan Martina Md Ghani Hanafi A Rahim Building a Sustainable GARCH Model to Forecast Rubber Price: Modified Huber Weighting Function Approach مجلة بغداد للعلوم Autoregressive, Dispersion, Forecasting, GARCH, Huber |
| title | Building a Sustainable GARCH Model to Forecast Rubber Price: Modified Huber Weighting Function Approach |
| title_full | Building a Sustainable GARCH Model to Forecast Rubber Price: Modified Huber Weighting Function Approach |
| title_fullStr | Building a Sustainable GARCH Model to Forecast Rubber Price: Modified Huber Weighting Function Approach |
| title_full_unstemmed | Building a Sustainable GARCH Model to Forecast Rubber Price: Modified Huber Weighting Function Approach |
| title_short | Building a Sustainable GARCH Model to Forecast Rubber Price: Modified Huber Weighting Function Approach |
| title_sort | building a sustainable garch model to forecast rubber price modified huber weighting function approach |
| topic | Autoregressive, Dispersion, Forecasting, GARCH, Huber |
| url | https://bsj.uobaghdad.edu.iq/index.php/BSJ/article/view/7489 |
| work_keys_str_mv | AT intanmartinamdghani buildingasustainablegarchmodeltoforecastrubberpricemodifiedhuberweightingfunctionapproach AT hanafiarahim buildingasustainablegarchmodeltoforecastrubberpricemodifiedhuberweightingfunctionapproach |