Norlee Ramli - Faculty of Economics and Management,Universiti Kebangsaan Malaysia
Abu Hassan Shaari Md Noor - Faculty of Economics and Management,Universiti Kebangsaan Malaysia
Tamat Sarmidi - Faculty of Economics and Management,Universiti Kebangsaan Malaysia
Fathin Faizah Said - Faculty of Economics and Management,Universiti Kebangsaan Malaysia

Rubber industry has always been vulnerable to the price volatility of standard rubber, which subverts the benefits of rubber production to the local economy. The objectives of this article are to study the volatility of prices for rubber, synthetic rubber and crude oil for three countries in ASEAN. Univariate Generalized Autoregressive ConditionalHeteroscedastic (GARCH)-Family models such as an ordinary GARCH, GARCH-M, EGARCH and TGARCH are applied to determine the best model for volatility evaluation. The results denote that conditional variance isdetermined by past conditional variance (volatility). The significance of leverage effect with negative coefficient value shows the existence of asymmetric effect at the same magnitude for Malaysia rubber prices, synthetic rubber prices and crude oil prices. This study indicates the evidence of bidirectional causality using VAR between the prices and the presence of volatility spillover using BEKK multivariate GARCH with bidirectional effects between Malaysiaand Thailand.

natural rubber price, volatility, univariate GARCH, multivariate GARCH, BEKK, VAR