臺灣博碩士論文加值系統

本研究探討泰國稻米每日出口價格波動與GARCH之最適模型，以泰國農業經濟協會2008年1月1日至2016年1月19日之每日稻米出口價格為數據。由GARCH（1,1），EGARCH及GJR-GARCH模型進行實證分析，從AIC和SBC之最低數據中表明GJR-GARCH模型為泰國稻米出口價格波動的最適模型。實驗結果發現，ARCH及GARCH 與泰國稻米每日出口價格波動呈顯著相關，表示前期泰國稻米之出口價格會影響當期出口價格之波動。最後，本研究也發現泰國稻米供應過剩，對泰國稻米的出口價格波動產生負面影響。

The aim of this study to find out the most appropriate GARCH model with
export price volatility of Thailand rice by using the daily data. The data come
from Official of Agricultural Economics of Thailand and starting from 1st January
2008 until 19th January 2016. The empirical analysis base on GARCH (1,1),
EGARCH, and GJR-GARCH models. From the Akaike information criterion
(AIC) and Schwartz criterion (SBC) suggest that GJR-GARCH model is the most
appropriate model with export price volatility of Thailand rice. From the
empirical result explains that there are statistically significant in ARCH and
GARCH terms. The both results mean that export price volatility of Thailand rice
in previous period can influence present period export price volatility of Thailand
rice. Finally, this study discover over supply of rice in Thailand during that period
because there is negative shock (bad news:  0) on volatility of export price of
Thailand rice.

CHAPTER I: INTRODUCTION ............................................. 1
1.1 Problem Statement ....................................................................... 1
1.2 Objectives .................................................................................... 2
1.3 Scope and Limitation ................................................................... 2
1.4 Research Procedure ..................................................................... 3
CHAPER II: BACKGROUND ................................................ 4
2.1 Rice Background ......................................................................... 4
2.2 Thailand Rice Background .......................................................... 4
2.3 World Rice Report ....................................................................... 6
2.3.1 World rice production ............................................................... 6
2.3.2 World rice market ..................................................................... 6
2.4 Thailand Rice Report ................................................................... 7
2.4.1 Thailand rice production ........................................................... 7
2.4.2 Thailand rice market ................................................................. 9
2.5 The Factor that Affect to Thailand’s Export .............................. 10
2.5.1 Thailand rice price .................................................................. 10
2.5.2 Rice policy .............................................................................. 11
2.5.3 Rice production and stock of competitor ................................ 11
2.5.4 Natural disaster of competitor and partner countries .............. 11
2.5.5 The outbreak of contagious diseases ...................................... 12
2.5.6 Foreign exchange rate ............................................................. 12
2.6 Data Analysis ............................................................................. 22
CHAPTER III: LITERATURE REVIEW ............................. 25
3.1 Literature Review ...................................................................... 25
CHAPTER IV: EMPIRICAL ANALYSIS ............................ 31
v
4.1 Time Series Analysis ................................................................. 31
4.1.1 Unit Root Test ........................................................................ 31
4.2 The Autoregressive Conditional Heteroskedasticity (ARCH) models ............................................................................................. 35
4.3 The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model ............................................................................. 37
4.3.1 The Exponential GARCH (EGARCH) model ........................ 39
4.3.2 The Glosten-Jagannathan-Runkle GARCH (GJR-GARCH) model ............................................................................................... 39
4.4 Data and Variables ..................................................................... 40
4.5 The Methodology Process ......................................................... 41
CHAPTER V: EMPIRICAL RESULT .................................. 43
5.1 Unit Root Test ............................................................................ 43
5.2 Models Comparing .................................................................... 45
5.3 Model Estimation ....................................................................... 45
CHAPTER VI: CONCLUSION ............................................ 48
6.1 Conclusion ................................................................................. 48
6.2 Suggestion .................................................................................. 49
References .............................................................................. 50
Appendixes ............................................................................ 53
vi
List of Figures
Figure 1.1 Rice Monthly Price 1985 – 2015 ................................ 1
Figure 1.2 Research procedure ..................................................... 3
Figure 2.1 Export price of Thailand rice for each periods ......... 23
Figure 2.2 Export price of Thailand rice .................................... 23
Figure 2.3 Return export price of Thailand rice ......................... 24
Figure 4.1 Procedure for testing for unit root tests .................... 34
Figure 4.2 The methodology process ......................................... 41
Figure 5.1 Export price of Thailand rice .................................... 47
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List of Tables
Table 2.1 World rice production 2010 to 2015 .......................... 13
Table 2.2 World rice balance 2010 to 2015 ............................... 14
Table 2.3 Rice consumption 2010 to 2015................................. 15
Table 2.4 World rice exporting volume 2010 to 2015 ............... 16
Table 2.5 World rice market share 2013 to 2015 ....................... 17
Table 2.6 World rice stock 2010 to 2015 ................................... 18
Table 2.7 Thailand rice field, production, production per acres of in and off season rice 2010 to 2015 ........................................... 19
Table 2.8 Thailand rice balance 2010 to 2015 ........................... 20
Table 2.9 Forecasting of quantity and value of Thailand export 2010 to 2015 .............................................................................. 20
Table 2.10 Farm price and exporting F.O.B. price 2010 to 2015 ................................................................................................... 21
Table 2.11 Thailand and competitor countries exporting F.O.B. price comparing 2014 to 2015 ................................................... 21
Table 5.1 Unit root test .............................................................. 44
Table 5.2 AIC & SBC comparing .............................................. 45
Table 5.3 GJR-GARCH model result ........................................ 46

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