ARIMAX Modelling of Ron97 Price with Crude Oil Price as an Exogenous Variable in Malaysian

Published: 3 September 2021| Version 1 | DOI: 10.17632/zxjnrpmwd8.1
Contributor:
Richard Manu Nana Yaw Sarpong- Streetor

Description

The primary data used in the paper are the published weekly price of Ron97 (CompareHero.my, 2020; Malaysia, 2021; The Ministry of Domestic Trade and Consumer Affairs, 2020) , daily crude oil price in barrels (WTI, BRENT and OPEC) (EIA, 2020; OPEC, 2020) and daily foreign exchange rate (Selling rate) of the Ringgit per US dollars (Bank Negara, 2020). The data is pre-processed to clean the data and standardize the data for the modelling process. The crude oil price and foreign exchange rates are converted to weekly averages. Daily missing data are replaced with weekly averages. The foreign exchange rates, (G) in Ringgits per US dollar(RM/USD) (Bank Negara, 2020), is multiplied with the international crude oil price (X) to convert ringgits per barrel( RM/bbl), (I), using Equation(2). The crude oil price are converted to ringgit per litre using the Barrel to Litre Metric Conversion (M)(Ltd, 2020), as shown in Equation(3).

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Data were collected from the following website's databases: https://www.eia.gov/dnav/pet/hist/leafhandler.ashx?n=pet&s=rbrte&f=w https://www.eia.gov/dnav/pet/hist/leafhandler.ashx?n=pet&s=rwtc&f=w https://www.opec.org/opec_web/en/data_graphs/40.htm https://www.bnm.gov.my/exchange-rates https://www.comparehero.my/transportation/articles/latest-petrol-price-ron95-ron97-diesel https://www.mof.gov.my/en/component/tags/tag/price-of-petroleum