EuroEconomica, Vol 22, No 1 (2009)

Abstract

This paper applies ARIMA-GARCH and ARIMA-TARCH with the dummy variable to explore whether futures in The Agricultural Futures Exchange of Thailand (AFET) can stabilize the spot prices volatility or not. Using the three spot prices of the futures’ underlying products which are still trading in the market at the present; Ribbed Smoked Sheet no.3 (RSS3), Tapioca Chip (TC), and White Rice 5% (BWR5), to model the volatility series and make a comparison between the period of the presence and the absence of having the futures trading. The result is found that the AFET’s futures have not affected the spot prices’ volatility for Ribbed Smoked Sheet no.3 and White Rice 5%. While, Tapioca Chip price is more volatile after AFET started operating. This can be implied that AFET’s futures cannot stabilize the agricultural spot prices.