Crude_Palm_Oil_Price_Forecasting_Box-Jenkins_Approach[1]英文文献资料.pdf

Pertanika 9(3), 359 - 367 Crude Palm Oil Price Forecasting: Box-Jenkins Approach FATIMAH MOHD. ARSHAD and ROSLAN A. GHAFFAR* Department of Agricultural Economics, Faculty of Economics and Management, University Pertanian Malaysia, 43400 Serdang, Selangor, Malaysia. Key words: Crude palm oil price; univariate; identification; estimation; diagnosis. ABSTRAK Model univariate yang diC£pta oleh Boxjenkins telah digunakan untuk meramal harga bulanan minyak kelapa sawit mentah. Model yang telah dikenalpasti sesuai untuk ramalam adalah (0, 2, 1) (0, 1, 1) 6 Model ini menunjukkan bahawa siri data harga minyak kelapa sawit mentah iaitu tak pegun dan mengandungi unsur-unsur gandaan, menyarankan kewujudan proses purata bergerak Model ARIMA yang dikenalpasti menjadikan siri data kepada bercorak stokastik, membolehkan model ini meramal harga minyak kelapa mentah dalamjangka masa pendek. ABSTRACT A univariate ARIMA model developed by Boxjenkins was utilised toforecast the short-run monthly price of crude palm oil. The appropriate modelfor forecasting wasfound to be (0, 2, 1) (0, 1, 1) 6 This model indicates that the original crude palm oil series is non-stationary and contains some elements of multipliC£ty, hence inheriting moving average process. The identified ARIMA model induced the data series into a stochastic one, making it a suitable modelforforecasting crude palm oilprices in the short term. INTRODUCTION