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In this study we aim to fit the Thailand rubber price with the continuous pricing model and
the model with jump where the parameters are estimated from the historical data and also to

compare the results which are obtained by both models.

2 Presentation of the data

We consider the historical data of Unsmoked Sheet Rubber (USS) price in Hat Yai market

which is obtained from the webpage of The Thai Rubber Association (The Thai rubber association,

2015) and the data is starting from Jan 3, 2007 to Feb 27, 2015 (see Fig. 1) which is 1584

observations of the USS price. During this period, there is 1584 daily prices which are observed in

the official trade day which is around 7 years. The maximum price and minimum price in this

period are 186 and 30 baht/kg respectively. In general the return is the difference between the

prices of two consecutive days. However, with some nice properties the log return R calculated
i
by the difference between the log of today price S and the log of yesterday price S :
i t t  1
i
 
 
R  log S  log S log    S t i   ,i  1,2,3,...,n
i t t  1
i i  S 
 t  1
i 
(1)
is considered instead. The daily log return of the USS price is shown in figure 2. In this figure, the

small (dots) and large (stars) changes of the log returns observed by eyes brought to the question

of jumps.

Figure 1: The historical data of USS price (Baht/Kg) start from Jan 3, 2007 to Feb 27, 2015.