Forecasting Model of RSS3 Price in Futures Market (in English)
The agricultural futures market affects the rubber price in Thailand. Rubber processors use the agricultural futures market to avoid risks associated with fluctuations in rubber price. Investors make profits from the difference between the current price and the future price. This paper presents the forecasting models for futures price of the natural rubber ribbed smoked sheets no.3 (RSS3). The results from the most efficient model can inform the decision of investors on buying and selling at the proper time. The study employs the least mean squared error as a criterion for the selection of the best prediction model. It includes an analysis of factors affecting the RSS3 futures prices in Thailandís futures market. The results show that the previous monthly futures prices and oil prices significantly affect the futures prices in the same direction. The net import of natural rubber by Japan was the leading indicator for the trend in rubber futures prices in Thailand. The analytical model is shown to be applicable and would facilitate related studies in forecasting the futures prices of other commodities. Time-series data was found to be suitable for the forecasting model.
Keywords: futures price, forecasting, agricultural futures market
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