Time Series ARIMA Models for Daily Price of Palm Oil

被引：1

作者：

Ariff, Noratiqah Mohd ^{[1
]}

Zamhawari, Nor Hashimah ^{[1
]}

Abu Bakar, Mohd Aftar ^{[1
]}

机构：

[1] Univ Kebangsaan Malaysia, Sch Math Sci, Ukm Bangi 43600, Selangor, Malaysia

来源：

2ND ISM INTERNATIONAL STATISTICAL CONFERENCE 2014 (ISM-II): EMPOWERING THE APPLICATIONS OF STATISTICAL AND MATHEMATICAL SCIENCES | 2015年 / 1643卷

关键词：

ARIMA Models; Daily Price; Palm Oil;

D O I：

10.1063/1.4907457

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Palm oil is deemed as one of the most important commodity that forms the economic backbone of Malaysia. Modeling and forecasting the daily price of palm oil is of great interest for Malaysia's economic growth. In this study, time series ARIMA models are used to fit the daily price of palm oil. The Akaike Infromation Criterion (AIC), Akaike Infromation Criterion with a correction for finite sample sizes (AICc) and Bayesian Information Criterion (BIC) are used to compare between different ARIMA models being considered. It is found that ARIMA(1,2,1) model is suitable for daily price of crude palm oil in Malaysia for the year 2010 to 2012.

引用

页码：283 / 288

页数：6

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