Forecasting of natural rubber bibbed smoked sheets no 3 (RSS3) price in the agricultural futures exchange of Thailand

Abstract

The agricultural futures market affects the rubber price in Thailand. Rubber processors use the agricultural futures market to avoid risks associated with fluctuations in rubber price. Investors make profits from the difference between the current price and the future price. The paper presents the forecasting models for futures price of the natural rubber ribbed smoked sheets no.3 (RSS3). The results from the most efficient model can inform the decision of investors on buying and selling at the proper time. The study employs univariate criteria for the selection of the best prediction model, the market timing criteria: judging by the confusion rate (CR) values and Diebold-Mariano (DM). Paper also includes an analysis of factors affecting the RSS3 futures price in Thailand’s futures market. The result indicated that daily and monthly futures prices served as unbiased estimators of future spot prices. Therefore, Thailand’s RSS3 futures market was weak form efficient market. Moreover, RSS3 futures price can be predicted by net imports natural rubber China, world synthetic rubber consumption, crude oil price and futures price TOCOM. Investors can use this information with futures price prediction. Because futures price lead spot price and both futures and spot price will converse lastly. These results will make more knowledgeable in futures market expansion, so the government should support on setting up the funds to make the futures market efficiency and to develop the potential of agents in the futures market.