Modeling Volatility and Interdependencies of Thai Rubber Spot Price Return with Climatic Factors, Exchange Rate and Crude Oil Markets

摘要: Thailand is a leading producer and exporter of rubber in the world market. The interdependencies volatility Thai price return with climatic factors (precipitation temperature), exchange rate, crude oil market returns are determined this paper. Vector autoregressive moving average process generalized conditional heteroscedasticity (VARMA-GARCH), VARMA (VARMA-AGARCH), copula-based GARCH models were employed for analyses. results demonstrated dollar as well VARMA-AGARCH models, respectively. We conclude that linked rate markets factors. Thus, stakeholders industry should consider movements those when forecasting returns. Using set robust approaches also recommended to obtain complete picture volatilities asset markets.