Modeling the Volatility of Rubber Price Return using VARMA GARCH Model

[[abstract]]Many studies have been conducted on the volatility of exchange rate affected by trade volume, trade price, and investment cost. However, studies on the effect of trade volume on the volatility of exchange rate have been inconclusive. The rubber industry is one of the most important economies in Thailand. We applied the VARMA-GARCH and VARMA-AGARCH models to determine the relationship between the volatility of Thai rubber price return and the volatility of different exchange rates. The coefficients of volatility of exchange rates comprise the Thai Baht, the Chinese Yuan, the Euro, and the Malaysian Ringgit; these currencies are significant in both models. The results indicate that the trade volume is an important factor in international product pricing. We recommend the Thai central bank set up some monetary policies to affect the rubber price