การวิเคราะห์ความผันผวนของราคายางแผ่นรมควันชั้น 3 ของประเทศไทยโดยใช้แบบจำลอง GARCH-X

Abstract

Rubber production in Thailand has been exposed to risks due to many factors such as natural disasters, inclement weather, plant diseases and pest ooutbreaks, fluctuations in determinant of production and crude oil (petroleum) price, exchange rate and particularly in volatility of natural rubber price. This fluctuation is derived from change in demand and supply which depend on controlled and uncontrolled factors. The demand for natural rubber depends on global economic situation and expansion of automobile industries which are the main indicators of economic growth rate of natural rubber consumption countries, world population, synthetic rubber production and crude oil (petroleum) price. The volatility of natural rubber prices has a major impact on rubber farmers and related rubber industry production. Based on previous research on natural rubber price volatility, there are many tools and development of volatility models using GARCH, GARCH-X, IGARCH, EGARCH, TGARCH GJRGARCH etc.

This paper studied on the situation of natural rubber production in Thailand, structure of natural rubber market and determinant of volatility natural rubber price and factors effecting rib smoked sheet (RSS particularly 3rd Class or RSS3) price in Thailand. The researcher analyzes rib smoked sheet (RSS3) price by using GARCH and GARCH-X models to test the hypothesis and identify variable X which affect rib smoked sheet price. The data used for this study is secondary data that obtained from statistic rubber and data stream including situation of natural rubber production, global rubber market, global and Thai volatility of natural rubber price as well as Thailand Policy for Natural Rubber to present the overview of natural rubber production, rubber market, rubber products, structure of rubber markets in Thailand, volatility of rubber price and daily policy related to rubber in Thailand. The researcher also uses time series data of rib smoked sheet in Thailand from January 4, 2012 to December 23, 2019 (1,605 datasets) together with external variables which are currency exchange (Yuan/Baht) RSS3 in Shanghai Futures Exchanges and crude oil (petroleum) price.

After analyzing RSS3 volatility in Thailand using GARCH-X, the result shows that currency exchange and crude oil (petroleum) price has a non-significant result on RSS3 volatility, whereas RSS3 price in Shanghai Futures Exchanges causes an effect on RSS3 price volatility at the range of 95 of confidence interval (CI). The major implication of the finding is dependence on relationship with RSS3 price in Shanghai Futures Exchanges and RSS3 price volatility.