Factors Affecting Ribbed Smoked Rubber Sheet No. 3 Price Volatility of Thailand
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Abstract
The volatility of natural rubber prices has a major impact on rubber farmers and rubber industry production. This research aims to study the rubber price volatility in Thailand and factors affecting RSS3 (ribbed smoked sheet No. 3) price in Thailand by using GARCH and GARCH-X models. The secondary time series data of RSS3 in Thailand and external variables including exchange rate (Yuan/Baht), RSS3 price in Shanghai Futures Exchanges (SHFE), and crude oil price were collected daily from January 4, 2012 to December 23, 2019 (1,605 datasets). The results show that exchange rate (Yuan/Baht) and crude oil price have non-significant results on RSS3 price volatility, whereas RSS3 prices in Shanghai Futures Exchanges cause an direct effect on RSS3 price volatility with the 99 % confidence.
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