TY  - BOOK
AU  - Ramli, N
AU  - Azam, A.H.M
AU  - Nor, A.H.S.M
AU  - Sarmidi, T
TI  - Spillover of rubber prices volatility in ASEAN-3 countries
PY  - 2022///
PB  - Journal of Rubber Research, 25(4): 251-263.
KW  - Natural rubber return
KW  - Volatility spillover
KW  - MGARCH
KW  - Constant and dynamic conditional correlation (CCC,DCC)
N2  - Rubber is a traded commodity in the international market with considerable potential. The rubber industry is very essential in driving the economic activities of ASEAN-3 countries, namely Malaysia, Thailand and Indonesia. The close ties between the natural rubber (NR) markets in ASEAN-3 have led to the process of risk dissemination known as volatility spillover. In this regard, the paper aimed to investigate the spillover effect and dynamic correlation of NR price in ASEAN-3 using the Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH) model with Baba, Engle, Kraft and Kroner (BEKK) formulation. The empirical result shows that there is a significant bidirectional volatility spillover between the volatility of Malaysian and Thailand NR, while there is only a unidirectional volatility spillover found from Malaysia to Indonesia. However, no volatility spillover was detected either from Thailand to Indonesia or vice-versa. Moreover, results from constant conditional correlation (CCC) found that the dependency on NR among ASEAN-3 was highly significant and positive, indicating the return relationship was moving in the same direction throughout the sample period. However, the result from dynamic conditional correlation (DCC) shows that although the degree of correlation is high among the region, there is a period whereby the level of correlation is low due to crises and unprecedented events like earthquakes and tsunamis. The results also found that the current period of NR volatility depends on its past volatility and any news or information greatly influences and affects the NR volatility in all ASEAN-3 countries
UR  - https://doi.org/10.1007/s42464-022-00181-4
ER  -