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Comparison between Box-Jenkins Method and Econometric Method<br />

in Forecasting Malaysia Crude Palm Oil<br />

Noor Ezzati Binti Mohd Sobri<br />

Supervisor: Dr. Nurfadhlina Binti Abdul Halim<br />

Bachelor of Science (Financial Mathematics)<br />

School of Informatics and Applied Mathematics<br />

Fluctuation of crude palm oil prices not only affects the relevant sectors, but also stock<br />

market index. Hence, forecasting this time series is crucial for country stability. In this<br />

study, the data of crude palm oil monthly prices were obtained at Index Mundi, from<br />

January 2006 to December 2017. Box-Jenkins and Econometric method were used in this<br />

study to predict the crude palm oil prices. The results of the study found that there is no<br />

ARIMA model of Box-Jenkins method meets the criteria after white noise error tests were<br />

performed. Meanwhile in Econometric method, AR(1)-GARCH(1,1) was selected as the<br />

best from the other seven models. This is because AR(1)-GARCH(1,1) has the smallest<br />

AIC value among the others. In conclusion, after Box-Jenkins and Econometric method<br />

were compared, the model of AR(1)-GARCH(1,1) was selected as the best model in this<br />

study.<br />

838 | UMT UNDERGRADUATE RESEARCH DAY 2018

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