A comparison of univariate time series methods for forecasting cocoa bean prices
The purpose of this study was to compare the forecasting performances of different time series methods for forecasting cocoa bean prices. The monthly average data of Tawau cocoa bean prices graded SMC 1B for the period of January 1992-December 2006 was used. Tawau is one of the top cocoa producers i...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English English |
| Published: |
Asian Network for Scientific Information
2010
|
| Subjects: | |
| Online Access: | https://eprints.ums.edu.my/id/eprint/28990/1/A%20Comparison%20of%20Univariate%20Time%20Series%20Methods%20for%20Forecasting%20Cocoa%20Bean%20Prices%20ABSTRACT.pdf https://eprints.ums.edu.my/id/eprint/28990/2/A%20Comparison%20of%20Univariate%20Time%20Series%20Methods%20for%20Forecasting%20Cocoa%20Bean%20Prices%20FULL%20TEXT.pdf |
| _version_ | 1796910717766467584 |
|---|---|
| author | Assis Kamu Amran Ahmed Remali Yusoff Affendy Hassan |
| author_facet | Assis Kamu Amran Ahmed Remali Yusoff Affendy Hassan |
| author_sort | Assis Kamu |
| collection | UMS |
| description | The purpose of this study was to compare the forecasting performances of different time series methods for forecasting cocoa bean prices. The monthly average data of Tawau cocoa bean prices graded SMC 1B for the period of January 1992-December 2006 was used. Tawau is one of the top cocoa producers in the world along with the Ivory Coast, Ghana and Indonesia. Four different types of univariate time series methods or models were compared, namely the exponential smoothing, autoregressive integrated moving average (ARIMA), generalized autoregressive conditional heteroskedasticity (GARCH) and the mixed ARIMA/GARCH models. Root mean squared error (RMSE), mean absolute percentage error (MAPE), mean absolute error (MAE) and Theil's inequality coefficient (U-STATISTICS) were used as the selection criteria to determine the best forecasting model. This study revealed that the time series data were influenced by a positive linear trend factor while a regression test result showed the non-existence of seasonal factors. Moreover, the Autocorrelation function (ACF) and the Augmented Dickey-Fuller (ADF) tests have shown that the time series data was not stationary but became stationary after the first order of the differentiating process was carried out. Based on the results of the ex-post forecasting (starting from January until December 2006), the mixed ARIMA/GARCH model outperformed the exponential smoothing, ARIMA and GARCH models. |
| first_indexed | 2024-03-06T03:08:25Z |
| format | Article |
| id | ums.eprints-28990 |
| institution | Universiti Malaysia Sabah |
| language | English English |
| last_indexed | 2024-03-06T03:08:25Z |
| publishDate | 2010 |
| publisher | Asian Network for Scientific Information |
| record_format | dspace |
| spelling | ums.eprints-289902021-07-29T02:30:34Z https://eprints.ums.edu.my/id/eprint/28990/ A comparison of univariate time series methods for forecasting cocoa bean prices Assis Kamu Amran Ahmed Remali Yusoff Affendy Hassan HB Economic theory. Demography QK Botany The purpose of this study was to compare the forecasting performances of different time series methods for forecasting cocoa bean prices. The monthly average data of Tawau cocoa bean prices graded SMC 1B for the period of January 1992-December 2006 was used. Tawau is one of the top cocoa producers in the world along with the Ivory Coast, Ghana and Indonesia. Four different types of univariate time series methods or models were compared, namely the exponential smoothing, autoregressive integrated moving average (ARIMA), generalized autoregressive conditional heteroskedasticity (GARCH) and the mixed ARIMA/GARCH models. Root mean squared error (RMSE), mean absolute percentage error (MAPE), mean absolute error (MAE) and Theil's inequality coefficient (U-STATISTICS) were used as the selection criteria to determine the best forecasting model. This study revealed that the time series data were influenced by a positive linear trend factor while a regression test result showed the non-existence of seasonal factors. Moreover, the Autocorrelation function (ACF) and the Augmented Dickey-Fuller (ADF) tests have shown that the time series data was not stationary but became stationary after the first order of the differentiating process was carried out. Based on the results of the ex-post forecasting (starting from January until December 2006), the mixed ARIMA/GARCH model outperformed the exponential smoothing, ARIMA and GARCH models. Asian Network for Scientific Information 2010 Article NonPeerReviewed text en https://eprints.ums.edu.my/id/eprint/28990/1/A%20Comparison%20of%20Univariate%20Time%20Series%20Methods%20for%20Forecasting%20Cocoa%20Bean%20Prices%20ABSTRACT.pdf text en https://eprints.ums.edu.my/id/eprint/28990/2/A%20Comparison%20of%20Univariate%20Time%20Series%20Methods%20for%20Forecasting%20Cocoa%20Bean%20Prices%20FULL%20TEXT.pdf Assis Kamu and Amran Ahmed and Remali Yusoff and Affendy Hassan (2010) A comparison of univariate time series methods for forecasting cocoa bean prices. Trends in Agricultural Economics, 3. pp. 207-215. ISSN 1994-7933 (P-ISSN) , 2077-2246 (E-ISSN) https://scialert.net/fulltext/?doi=tae.2010.207.215 https://dx.doi.org/10.3923/tae.2010.207.215 https://dx.doi.org/10.3923/tae.2010.207.215 |
| spellingShingle | HB Economic theory. Demography QK Botany Assis Kamu Amran Ahmed Remali Yusoff Affendy Hassan A comparison of univariate time series methods for forecasting cocoa bean prices |
| title | A comparison of univariate time series methods for forecasting cocoa bean prices |
| title_full | A comparison of univariate time series methods for forecasting cocoa bean prices |
| title_fullStr | A comparison of univariate time series methods for forecasting cocoa bean prices |
| title_full_unstemmed | A comparison of univariate time series methods for forecasting cocoa bean prices |
| title_short | A comparison of univariate time series methods for forecasting cocoa bean prices |
| title_sort | comparison of univariate time series methods for forecasting cocoa bean prices |
| topic | HB Economic theory. Demography QK Botany |
| url | https://eprints.ums.edu.my/id/eprint/28990/1/A%20Comparison%20of%20Univariate%20Time%20Series%20Methods%20for%20Forecasting%20Cocoa%20Bean%20Prices%20ABSTRACT.pdf https://eprints.ums.edu.my/id/eprint/28990/2/A%20Comparison%20of%20Univariate%20Time%20Series%20Methods%20for%20Forecasting%20Cocoa%20Bean%20Prices%20FULL%20TEXT.pdf |
| work_keys_str_mv | AT assiskamu acomparisonofunivariatetimeseriesmethodsforforecastingcocoabeanprices AT amranahmed acomparisonofunivariatetimeseriesmethodsforforecastingcocoabeanprices AT remaliyusoff acomparisonofunivariatetimeseriesmethodsforforecastingcocoabeanprices AT affendyhassan acomparisonofunivariatetimeseriesmethodsforforecastingcocoabeanprices AT assiskamu comparisonofunivariatetimeseriesmethodsforforecastingcocoabeanprices AT amranahmed comparisonofunivariatetimeseriesmethodsforforecastingcocoabeanprices AT remaliyusoff comparisonofunivariatetimeseriesmethodsforforecastingcocoabeanprices AT affendyhassan comparisonofunivariatetimeseriesmethodsforforecastingcocoabeanprices |