MALAYSIAN PALM OIL PRICE PREDICTION USING ARIMA – ARCH MODEL

mpob_admin — Tue, 04 Mar 2025 05:55:33 +0000

Palm oil is one of Malaysia’s primary industries. In 2022, Malaysia was responsible for 25.14% of global palm oil production, totalling 18.55 million tonnes, and 31.65% of worldwide palm oil exports, amounting to 15.71 million tonnes (MPOB, 2024; Trend Economy, 2024). This article presents a study for Malaysian palm oil price forecasting using the traditional time series model, with three objectives, to identify the behaviour of palm oil prices in Malaysia, to determine the best model for predicting palm oil prices using the ARIMA model, and to perform a short-term forecast of the future palm oil price in Malaysia. The analysis was conducted using monthly Malaysian palm oil prices for a period of 10 years, 2013–2023. EViews software was used to run the data analysis. It is found that ARIMA (1,1,4) – ARCH (1) model is the most parsimonious model for forecasting the crude palm oil prices in Malaysia. Overall, predicting the monthly price of Malaysian palm oil provides valuable insights that support decision-making across the entire palm oil value chain, from producers and traders to
policymakers and investors.

ARIMA-ARCH model – OPIEJ

MALAYSIAN PALM OIL PRICE PREDICTION USING ARIMA – ARCH MODEL