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Volatility Linkages Between Price Returns of Crude Oil and Crude Palm Oil in the ASEAN Region: A Copula Based GARCH Approach

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Integrated Uncertainty in Knowledge Modelling and Decision Making (IUKM 2015)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 9376))

Abstract

This paper used the copula based ARMA-GARCH to examine the dependence structure between the weekly prices of two commodities, namely Crude oil and Crude palm oil. We found evidence of a weak positive dependence between two commodities prices. These findings suggest that the crude oil market of the Middle East and the crude palm oil market of Malaysia are linked together. This information is useful for decision making in various area, such as the risk management in financial field and the international trade in agricultural commodities.

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Author information

Authors and Affiliations

  1. Department of Agricultural Economics, Faculty of Agriculture, Khon Kaen University, Khon Kaen, 40002, Thailand

    Teera Kiatmanaroch

  2. Department of Economics, Faculty of Management Sciences, Khon Kaen University, Khon Kaen, 40002, Thailand

    Ornanong Puarattanaarunkorn

  3. Faculty of Economics, Maejo University, Chiang Mai, 50200, Thailand

    Kittawit Autchariyapanitkul

  4. Faculty of Economics, Chiang Mai University, Chiang Mai, 50200, Thailand

    Songsak Sriboonchitta

Authors
  1. Teera Kiatmanaroch
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  2. Ornanong Puarattanaarunkorn
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  3. Kittawit Autchariyapanitkul
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  4. Songsak Sriboonchitta
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Corresponding author

Correspondence to Songsak Sriboonchitta .

Editor information

Editors and Affiliations

  1. Science and Technology, Japan Advanced Institute of, Nomi, Japan

    Van-Nam Huynh

  2. Science, Dept of Systems Innovation, Osaka University,Graduate School of, Osaka, Japan

    Masahiro Inuiguchi

  3. Université de Technologie de Compiègne, Compiègne, France

    Thierry Demoeux

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Kiatmanaroch, T., Puarattanaarunkorn, O., Autchariyapanitkul, K., Sriboonchitta, S. (2015). Volatility Linkages Between Price Returns of Crude Oil and Crude Palm Oil in the ASEAN Region: A Copula Based GARCH Approach. In: Huynh, VN., Inuiguchi, M., Demoeux, T. (eds) Integrated Uncertainty in Knowledge Modelling and Decision Making. IUKM 2015. Lecture Notes in Computer Science(), vol 9376. Springer, Cham. https://doi.org/10.1007/978-3-319-25135-6_39

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  • DOI: https://doi.org/10.1007/978-3-319-25135-6_39

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-25134-9

  • Online ISBN: 978-3-319-25135-6

  • eBook Packages: Computer ScienceComputer Science (R0)

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